OPEN-SOURCE SCRIPT
Realized volatility differential
About
This is a simple indicator that takes into account two types of realized volatility: Close-Close and High-Low (the latter is more useful for intraday trading).
The output of the indicator is two values / plots:
When the current value is:
How to use it
It might be used as a timing tool for mean reversion strategies = when your primary strategy says a market is in mean reversion mode, you could use it as a signal for opening a position.
For example: let's say a security is in uptrend and approaching an important level (important to you).
If the current value is:
Intended securities
Futures contracts
This is a simple indicator that takes into account two types of realized volatility: Close-Close and High-Low (the latter is more useful for intraday trading).
The output of the indicator is two values / plots:
- an average of High-Low volatility minus Close-Close volatility (10day period is used as a default)
- the current value of the indicator
When the current value is:
- lower / below the average, then it means that High-Low volatility should increase.
- higher / above then obviously the opposite is true.
How to use it
It might be used as a timing tool for mean reversion strategies = when your primary strategy says a market is in mean reversion mode, you could use it as a signal for opening a position.
For example: let's say a security is in uptrend and approaching an important level (important to you).
If the current value is:
- above the average, a short position can be opened, as High-Low volatility should decrease;
- below the average, a trend should continue.
Intended securities
Futures contracts
Skrypt open-source
W prawdziwym duchu TradingView autor tego skryptu opublikował go jako open source, aby inwestorzy mogli go zrozumieć i zweryfikować. Pozdrowienia dla autora! Możesz go używać bezpłatnie, ale ponowne użycie tego kodu w publikacji podlega Zasadom Regulaminu. Możesz go oznaczyć jako ulubione, aby użyć go na wykresie.
Chcesz użyć tego skryptu na wykresie?
Wyłączenie odpowiedzialności
Informacje i publikacje przygotowane przez TradingView lub jego użytkowników, prezentowane na tej stronie, nie stanowią rekomendacji ani porad handlowych, inwestycyjnych i finansowych i nie powinny być w ten sposób traktowane ani wykorzystywane. Więcej informacji na ten temat znajdziesz w naszym Regulaminie.