Volume Weighted Intra Bar Standard Deviation

This indicator provides a high-resolution analysis of market volatility by dissecting each bar on the chart into its fundamental components. It uses data from a lower, intra-bar timeframe to separate the total volatility of a single bar into its 'directional' and 'non-directional' parts.

Key Features:

Intra-Bar Volatility Decomposition: For each bar on the chart, the indicator analyzes the underlying price action on a smaller timeframe ('Intra-Bar Timeframe') and quantifies two types of volatility:

Between-Bar Volatility (Directional): Calculated from price movements between the intra-bar candles. This component represents the directional, trending price action within the main bar.

Within-Bar Volatility (Non-Directional): Calculated from price fluctuations inside each intra-bar candle. This component represents the choppy, noisy, or ranging price action.

Dual Display Modes: The indicator offers two modes to visualize this information:

Absolute Mode: Plots the total standard deviation as a stacked column chart, showing the absolute magnitude of volatility and the contribution of each component.

Normalized Mode: Plots the components as a 100% stacked column chart (scaled from 0 to 1), focusing purely on the percentage ratio of 'between-bar' (trending) and 'within-bar' (choppy) volatility.

Calculation Options:

Statistical Model: The 'Estimate Bar Statistics' option (enabled by default) uses a statistical model ('Estimator') to perform the decomposition. (Assumption: In this mode, the Source input is ignored, and an estimated mean for each bar is used instead).

Normalization: An optional 'Normalize Volatility' setting calculates volatility in percentage terms (log-space).

Volume Weighting: An option (Volume weighted) applies volume weighting to all intra-bar volatility calculations.

Volatility Pivot Detection: Includes a built-in pivot detector that identifies significant turning points (highs and lows) in the total volatility line. (Note: This is only visible in 'Absolute Mode').

Note on Confirmation (Lag): Pivot signals are confirmed using a lookback method. A pivot is only plotted after the Pivot Right Bars input has passed, which introduces an inherent lag.

Multi-Timeframe (MTF) Capability:

MTF Analysis Lines: The entire intra-bar analysis can be run on a higher timeframe (using the Timeframe input), with standard options to handle gaps (Fill Gaps) and prevent repainting (Wait for...).

Limitation: The Pivot detection (Calculate Pivots) is disabled if a Higher Timeframe (HTF) is selected.

Integrated Alerts: Includes 6 alerts for:

Volatility character changes (e.g., 'Character Change from Choppy to Trend').

Dominant character emerging (e.g., 'Trend Character Emerging').

Total Volatility pivot (High/Low) detection.

Caution: Real-Time Data Behavior (Intra-Bar Repainting) This indicator uses high-resolution intra-bar data. As a result, the values on the current, unclosed bar (the real-time bar) will update dynamically as new intra-bar data arrives. This behavior is normal and necessary for this type of analysis. Signals should only be considered final after the main chart bar has closed.

DISCLAIMER

For Informational/Educational Use Only: This indicator is provided for informational and educational purposes only. It does not constitute financial, investment, or trading advice, nor is it a recommendation to buy or sell any asset.

Use at Your Own Risk: All trading decisions you make based on the information or signals generated by this indicator are made solely at your own risk.

No Guarantee of Performance: Past performance is not an indicator of future results. The author makes no guarantee regarding the accuracy of the signals or future profitability.

No Liability: The author shall not be held liable for any financial losses or damages incurred directly or indirectly from the use of this indicator.

Signals Are Not Recommendations: The alerts and visual signals (e.g., crossovers) generated by this tool are not direct recommendations to buy or sell. They are technical observations for your own analysis and consideration.