Exact-Month Avg & Vol (USDT) + Winsor/Clip/RV - V0.95d by McToga

11월 3일

What the indicator does
1) Data basis & window Uses the chart symbol by default (or manually via input). Works internally with daily closing prices (request.security(..., “D”, ...)) – regardless of whether you use D/W/M in the chart. Exact monthly logic: The evaluation window is determined by actual calendar months (1/3/6/12 or custom), not by fixed 30/90 days.

2) Returns & preprocessingReturn definition selectable: logarithmic (default) or simple return – each in %/day. Winsorizing (lower/upper percentile) and clipping (|r| ≤ X percentage points) optional to limit outliers.

3) Key figures (not annualized)Arithmetic daily volatility: Mean of absolute daily returns in %.Median volatility: Median of absolute daily returns in %. Standard deviation (StdDev) of daily returns in %. Realized variance (RV) = Σ r² and √RV (indicative of cumulative realized vol).

4) Annualization (optional) Basis 252 or 365 days. For |r|-based measures (arithmetic/median), optional Abs→Sigma factor √(π/2) to bring them closer to StdDev. Provides arithmetic p.a., median p.a., StdDev p.a., RV p.a..

5) Additional metrics Avg Price: Arithmetic average of daily closes in the window. Days (effDays): Number of trading days actually considered in the window.

6) Display & operation Only active on D/W/M (intraday everything is suppressed). Short mode (default): compact table with Avg Price • Days • Arith Vol • Median Vol • StdDev • √RV • Arith p.a. • Median p.a. • StdDev p.a. • RV p.a. Full mode: detailed table; individual rows can be toggled (Avg Price, Arith/Median/StdDev, RV, Annuals). Positions: table can be selected at 4 corners; toggle without restarting. Label (optional): compact text summary on the chart (corner selectable). Price plot (optional): 1D close as overlay.

7) Help, Debug & AlertsOnline help: 3 lines in the status bar (Help-On variant).Debug table (optional): shows RetCount, Winsor limits, clip status, key figures.Alert: Trigger when arithmetic daily volatility ≥ threshold value.

8) RobustnessTables/label handles are correctly deleted/recreated when TF/mode/position changes.No prohibited global writes in functions; clear typing (no na on bool).Typical useSelect monthly window (e.g., 3M) → optionally set Winsor/clip.Short or full as needed; select position. Annualization on/off; activate Abs→Sigma if necessary. Optional: Switch on label/price plot/debug; set alert threshold.

11월 3일

릴리즈 노트

What the indicator does
1.) Data basis & window Uses the chart symbol by default (or manually via input).
Works internally with daily closing prices (request.security(..., “D”, ...))
regardless of whether you use D/W/M in the chart.
Exact monthly logic: The evaluation window is determined by
actual calendar months (1/3/6/12 or custom), not by fixed 30/90 days.
2.) Returns & preprocessingReturn definition selectable:
logarithmic (default) or simple return – each in %/day.
Winsorizing (lower/upper percentile) and clipping (|r| ≤ X percentage points)
optional to limit outliers.
3.) Key figures (not annualized) Arithmetic daily volatility:
Mean of absolute daily returns in %.Median volatility: Median of absolute daily returns in %.
Standard deviation (StdDev) of daily returns in %.
Realized variance (RV) = Σ r² and √RV (indicative of cumulative realized vol).
4.) Annualization (optional) Basis 252 or 365 days.
For |r|-based measures (arithmetic/median), optional Abs→Sigma factor √(π/2)
to bring them closer to StdDev. Provides arithmetic p.a., median p.a., StdDev p.a., RV p.a..
5.) Additional metrics Avg Price:
Arithmetic average of daily closes in the window.
Days (effDays): Number of trading days actually considered in the window.
6.) Display & operation Only active on D/W/M (intraday everything is suppressed).
Short mode (default):
compact table with
Avg Price • Days • Arith Vol • Median Vol • StdDev • √RV • Arith p.a. •
Median p.a. • StdDev p.a. • RV p.a.
Full mode: detailed table; individual rows can be toggled
(Avg Price, Arith/Median/StdDev, RV, Annuals).
Positions: table can be selected at 4 corners; toggle without restarting.
Label (optional): compact text summary on the chart (corner selectable).
Price plot (optional): 1D close as overlay.
7.) Help, Debug & AlertsOnline help: 3 lines in the status bar (Help-On variant).
Debug table (optional): shows RetCount, Winsor limits, clip status, key figures.
Alert: Trigger when arithmetic daily volatility ≥ threshold value.
8.) RobustnessTables/label handles are correctly deleted/recreated
when TF/mode/position changes.
No prohibited global writes in functions; clear typing (no na on bool).
Typical useSelect monthly window (e.g., 3M) → optionally set Winsor/clip.
Short or full as needed; select position. Annualization on/off;
activate Abs→Sigma if necessary.
Optional: Switch on label/price plot/debug; set alert threshold.