Intraday Volatility Bands [Honestcowboy]

2023년 10월 9일

The Intraday Volatility Bands aims to provide a better alternative to ATR in the calculation of targets or reversal points.

How are they different from ATR based bands?

While ATR and other measures of volatility base their calculations on the previous bars on the chart (for example bars 1954 to 1968). The volatility used in these bands measure expected volatility during that time of the day.

Why would you take this approach?

Markets behave different during certain times of the day, also called sessions.
Here are a couple examples.

• Asian Session (generally low volatility)
  
• London Session (bigger volatility starts)
  
• New York Session (overlap of New York with London creates huge volatility)
  

Generally when using bands or channel type indicators intraday they do not account for the upcoming sessions. On London open price will quickly spike through a bollinger band and it will take some time for the bands to adjust to new volatility.

This script will show expected volatility targets at the start of each new bar and will not adjust during the bar. It already knows what price is expected to do at this time of day.

Script also plots arrows when price breaches either the top or bottom of the bands. You can also set alerts for when this occurs. These are non repainting as the script knows the level at start of the bar and does not change.

🔷 CALCULATION

Think of this script like an ATR but instead it uses past days data instead of previous bars data. Charts below should visualise this more clearly:



The scripts measure of volatility is based on a simple high-low.

The script also counts the number of bars that exist in a day on your current timeframe chart. After knowing that number it creates the matrix used in it's calculations and data storage.

See how it works perfectly on a lower timeframe chart below:


Getting this right was the hardest part, check the coding if you are interested in this type of stuff. I commented every step in the coding process.

🔷 SETTINGS

Every setting of the script has a tooltip but I provided a breakdown here:


Some more examples of different charts:

2023년 10월 23일

릴리즈 노트

Changed title of a setting in Data optimisations days inputs.
Added a check if matrix is full before plotting any of the signal triangles or alerting.