RicardoSantos

Percent Change of Range

Percent price change within range.
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Good One! Been thinking of doing this with volatility - probably true range in order to compare actual spot volatility to the implied volatility that derives from options pricing. This expresses a rank within a range and one could also calculate the percentile (more complex) where with length 100, how many samples fall out above and below the current value. Anyhow the Implied Vol IVR (this ranking method) and IVP are all published so can be compared as to accuracy of tracking. Would save me a lot of time as ALL of my trades are based partly on the volatility relationship history to now. Rank is easier but outlying spikes can skew it where with percentile a 10 times normal spike is just another value greater than current. Thanks for this it will save me some head scratching!
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What if you where measuring this in the 5 min time frame while you are looking at the 60 min for price action and other things. Could you do that?
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RicardoSantos jaktrader
@jaktrader, it wouldnt be reliable, the security() function would be poling the value of the last 5 minute bar within the 1hour
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jaktrader RicardoSantos
@RicardoSantos, oh.. ok I see.. Is there a way tradingview fix this so it can be reliable?
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RicardoSantos jaktrader
@jaktrader, its not a bug, its just how the underlying works
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jaktrader RicardoSantos
@RicardoSantos, True.. but still they can make an other function or something so it can be applicable for use right? I mean. i think looking at the depth in such way it could be really strong..
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RicardoSantos jaktrader
@jaktrader, that would be unlikely, as it would generate too much of a overhead in the bandwidth, ex imagine lots of users pooling data from the 5min from the weekly, it would be too much data requested for TV to handle
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jaktrader RicardoSantos
@RicardoSantos, well... this is bad.. :/ I hope they find a way in the future... But anyway. Thank you Ricardo!
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RicardoSantos jaktrader
@jaktrader, you could split the layout 1hour + 5min (top right side button that looks like a gray box)
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jaktrader RicardoSantos
@RicardoSantos, Yeah this is one way to do it.. But i think is going to be a little bit a of a problem with the backtesting... Do you backtest here in tradingview?
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