Volume and Volatility Ratio Indicator-WODI策略名称
交易量与波动率比例策略-WODI
一、用户自定义参数
vol_length：交易量均线长度，计算基础交易量活跃度。
index_short_length / index_long_length：指数短期与长期均线长度，用于捕捉中短期与中长期趋势。
index_magnification：敏感度放大倍数，调整指数均线的灵敏度。
index_threshold_magnification：阈值放大因子，用于动态过滤噪音。
lookback_bars：形态检测回溯K线根数，用于捕捉反转模式。
fib_tp_ratio / fib_sl_ratio：斐波那契止盈与止损比率，分别对应黄金分割（0.618/0.382 等）级别。
enable_reversal：反转信号开关，开启后将原有做空信号反向为做多信号，用于单边趋势加仓。
二、核心计算逻辑
交易量百分比
使用 ta.sma 计算 vol_ma，并得到 vol_percent = volume / vol_ma * 100。
价格波动率
volatility = (high – low) / close * 100。
构建复合指数
volatility_index = vol_percent * volatility，并分别计算其短期与长期均线（乘以 index_magnification）。
动态阈值
index_threshold = index_long_ma * index_threshold_magnification，过滤常规波动。
三、信号生成与策略执行
做多/做空信号
当短期指数均线自下而上突破长期均线，且 volatility_index 突破 index_threshold 时，发出做多信号。
当短期指数均线自上而下跌破长期均线，且 volatility_index 跌破 index_threshold 时，发出做空信号。
反转信号模式（可选）
若 enable_reversal = true，则所有做空信号反向为做多，用于在强趋势行情中加仓。
止盈止损管理
进场后自动设置斐波那契止盈位（基于入场价 × fib_tp_ratio）和止损位（入场价 × fib_sl_ratio）。
支持多级止盈：可依次以 0.382、0.618 等黄金分割比率分批平仓。
四、图表展示
策略信号标记：图上用箭头标明每次做多/做空（或反转加仓）信号。
斐波那契区间：在K线图中显示止盈/止损水平线。
复合指数与阈值线：与原版相同，在独立窗口绘制短、长期指数均线、指数曲线及阈值。
量能柱状：高于均线时染色，反转模式时额外高亮。
Strategy Name
Volume and Volatility Ratio Strategy – WODI
1. User-Defined Parameters
vol_length: Length for volume SMA.
index_short_length / index_long_length: Short and long MA lengths for the composite index.
index_magnification: Sensitivity multiplier for index MAs.
index_threshold_magnification: Threshold multiplier to filter noise.
lookback_bars: Number of bars to look back for pattern detection.
fib_tp_ratio / fib_sl_ratio: Fibonacci take-profit and stop-loss ratios (e.g. 0.618, 0.382).
enable_reversal: Toggle for reversal mode; flips short signals to long for trend-following add-on entries.
2. Core Calculation
Volume Percentage:
vol_ma = ta.sma(volume, vol_length)
vol_percent = volume / vol_ma * 100
Volatility:
volatility = (high – low) / close * 100
Composite Index:
volatility_index = vol_percent * volatility
Short/long MAs applied and scaled by index_magnification.
Dynamic Threshold:
index_threshold = index_long_ma * index_threshold_magnification.
3. Signal Generation & Execution
Long/Short Entries:
Long when short MA crosses above long MA and volatility_index > index_threshold.
Short when short MA crosses below long MA and volatility_index < index_threshold.
Reversal Mode (optional):
If enable_reversal is on, invert all short entries to long to scale into trending moves.
Fibonacci Take-Profit & Stop-Loss:
Automatically set TP/SL levels at entry price × respective Fibonacci ratios.
Supports multi-stage exits at 0.382, 0.618, etc.
4. Visualization
Signal Arrows: Marks every long/short or reversal-add signal on the chart.
Fibonacci Zones: Plots TP/SL lines on the price panel.
Index & Threshold: Same as v1.0, with MAs, index curve, and threshold in a separate sub-window.
Volume Bars: Colored when above vol_ma; extra highlight if a reversal-add signal triggers
Wyszukaj w skryptach "Volatility"
RSI and Dev Advanced Volatility IndexEnglish Explanation of the "RSI and Dev Advanced Volatility Index" Pine Script Code
Understanding the Code
Purpose:
This Pine Script code creates a custom indicator that combines the Relative Strength Index (RSI) and Deviation (DEV) to provide insights into market volatility.
Key Components:
* Deviation (DEV): Calculates the difference between the closing price and the 10-period simple moving average. This measures the extent to which the price deviates from its recent average, indicating volatility.
* RSI: The traditional RSI is then applied to the calculated deviations. This helps to smooth the data and identify overbought or oversold conditions in terms of volatility.
Calculation Steps:
* Deviation Calculation: The difference between the closing price and its 10-period simple moving average is calculated.
* RSI Calculation: The RSI is calculated on the deviations, providing a measure of the speed and change of volatility relative to recent volatility changes.
* Plotting:
* The RSI of the deviations is plotted on the chart.
* Horizontal lines are plotted at 50, 0, and 110 to visually represent different volatility zones.
* The area between the lines is filled with color to highlight low and high volatility regions.
Interpretation and Usage
* Volatility Analysis:
* High Volatility: When the RSI is above 50, it indicates high volatility, suggesting the market might be in a consolidation or trend reversal phase.
* Low Volatility: When the RSI is below 50, it indicates low volatility, suggesting a relatively calm market.
* Trading Signals:
* Buy Signal: When the RSI crosses above 50 from below, it might signal increasing volatility, which could be a buying opportunity.
* Sell Signal: When the RSI crosses below 50 from above, it might signal decreasing volatility, which could be a selling opportunity.
* Risk Management:
* By monitoring volatility, traders can better manage their risk. During periods of high volatility, traders might reduce their position size or adopt more conservative strategies.
Advantages
* Comprehensive: Combines RSI and DEV for a more holistic view of volatility.
* Sensitivity: Quickly responds to changes in market volatility.
* Visual Clarity: Color-coded zones provide a clear visual representation of different volatility levels.
Limitations
* Parameter Sensitivity: The indicator's performance is sensitive to parameter changes, such as the lookback period for the moving average.
* Lag: Like most technical indicators, it has some lag and might not capture every market movement.
* Not Predictive: It can only indicate current and past volatility, not future movements.
Summary
This custom indicator offers a valuable tool for analyzing market volatility. By combining RSI and DEV, it provides a more nuanced perspective on price fluctuations. However, it should be used in conjunction with other technical indicators and fundamental analysis for more robust trading decisions.
Key points to remember:
* Higher RSI values indicate higher volatility.
* Lower RSI values indicate lower volatility.
* Crossovers of the RSI line above or below 50 can provide potential trading signals.
* The indicator should be used in conjunction with other analysis tools for a more complete picture of the market.
Volume and Volatility Ratio Indicator-WODI该指标名为“交易量与波动率比例指标-WODI”，主要基于交易量和价格波动率构造一个复合指数，帮助识别市场内可能存在的异常或转折信号。具体实现如下：
用户自定义参数
用户可以设置交易量均线长度（vol_length）、指数的短期与长期均线长度（index_short_length、index_long_length）、均线敏感度（index_magnification）、阈值放大因子（index_threshold_magnification）以及检测K线形态的区间（lookback_bars）。这些参数为后续计算提供了灵活性，允许用户根据不同市场环境自定义指标的敏感度和响应速度。
交易量均线与百分比计算
首先通过 ta.sma 计算指定长度的交易量简单均线（vol_ma）。
接下来，将当前交易量与均线进行比较，计算出当前交易量占均线的百分比（vol_percent），这反映了短期内交易量的相对活跃程度。
波动率的衡量
使用当前K线的最高价和最低价计算振幅，再除以收盘价乘以100得到波动率（volatility），从而反映市场价格波动的幅度。
构建交易量/波动率指数
将交易量百分比与波动率相乘，形成了“交易量/波动率指数”（volatility_index）。该指数能够同时反映市场的交易活跃度和价格波动性，两者的联合作用帮助捕捉市场的“热度”。
计算指标均线与阈值
对交易量/波动率指数分别计算短期均线（index_short_ma）和长期均线（index_long_ma），并通过乘以一个敏感度参数（index_magnification）进行调整。
同时，依据长期均线计算一个阈值（index_threshold），起到过滤噪音的作用。当指数突破该阈值时，可能预示着市场的重要变化。
K线形态与反转模式检测
通过遍历最近几根K线（由lookback_bars控制），指标会检测是否符合一系列预定条件（涉及交易量、价格振幅、K线形态等），以判断是否存在反转模式。若符合条件，则标记为反转模式，从而为潜在的转折点提供提示。
图表展示
最终在独立窗口中绘制多个元素：
指数短均线与长均线：经过敏感度调整后显示，用于分析指数趋势。
交易量/波动率指数：采用阶梯线风格绘制，直观展示指数变化。
阈值线：作为参考水平，便于判断指数是否突破常规范围。
交易量柱状图：当当前交易量高于均线时，通过不同颜色显示；当检测到反转模式时，颜色会进一步强化，帮助用户迅速识别潜在信号。
English Description
This indicator, titled “Volume and Volatility Ratio Indicator - WODI”, is designed to construct a composite index based on trading volume and price volatility, aiding in the identification of abnormal market conditions or potential reversal signals. Its functionality is broken down as follows:
User-Defined Parameters
The indicator allows users to set parameters such as the moving average length for volume (vol_length), the short and long moving average lengths for the index (index_short_length and index_long_length), a sensitivity multiplier (index_magnification), a threshold magnification factor (index_threshold_magnification), and the number of bars for pattern detection (lookback_bars). These parameters provide flexibility to adjust the sensitivity and responsiveness of the indicator based on different market conditions.
Volume Moving Average and Percentage Calculation
A simple moving average (SMA) of volume is computed over the specified length (vol_ma) using the ta.sma function.
The current volume is then compared to its moving average to calculate the volume percentage (vol_percent), reflecting the relative trading intensity in the short term.
Measuring Volatility
Volatility is calculated based on the current bar’s high and low prices, normalized by the closing price and multiplied by 100, which provides a measure of the market’s price fluctuation magnitude.
Constructing the Volume/Volatility Index
The index (volatility_index) is derived by multiplying the volume percentage by the calculated volatility. This composite metric reflects both market activity and price movement, effectively capturing the overall “heat” of the market.
Calculating the Index Moving Averages and Threshold
Two moving averages for the volatility_index are computed: one short-term (index_short_ma) and one long-term (index_long_ma). These are then adjusted by the sensitivity multiplier (index_magnification).
A threshold level (index_threshold) is calculated based on the long-term moving average multiplied by the threshold magnification factor, serving to filter out market noise. When the index exceeds this threshold, it may signal significant market shifts.
Detection of Reversal Patterns
The indicator iterates through the recent bars (as determined by lookback_bars) to check whether a set of predetermined conditions (involving trends in the volatility_index, volume comparisons, price closes, and K-line patterns) are met. If these conditions are satisfied, it flags a reversal pattern, which may serve as a warning for a potential market turnaround.
Visualization on the Chart
The final display includes several elements plotted in a separate indicator window:
The short-term and long-term moving averages of the index (after sensitivity adjustment) which help visualize the trend of the composite index.
The volatility index itself is drawn using a step-line style for clarity.
A threshold line is plotted to provide a reference level against which index movements can be compared.
A volume histogram is also displayed, where bars are colored differently when the current volume exceeds the moving average; the color is further enhanced if a reversal pattern is detected, making it easy for users to quickly spot potential signals.
L&S Volatility Index Refurbished█ Introduction
This is my second version of the L&S Volatility Index, hence the name "Refurbished".
The first version can be found at this link:
The reason I released a separate version is because I rewrote the source code from scratch with the aim of both improving the indicator and staying as close as possible to the original concept.
I feel that the first version was somewhat exotic and polluted in relation to the indicator originally described by the authors.
In short, the main idea remains the same, however, the way of presenting the result has been changed, reiterating what was said.
█ CONCEPTS
The L&S Volatility Index measures the volatility of price in relation to a moving average.
The indicator was originally described by Brazilian traders Alexandre Wolwacz (Stormer) and Fábio Figueiredo (Vlad) from L&S Educação Financeira.
Basically, this indicator can be used in two ways:
1. In a mean reversion strategy, when there is an unusual distance from it;
2. In a trend following strategy, when the price is in an acceptable region.
As an indicator of volatility, the greatest utility is shown in first case.
This is because it allows identifying abnormal prices, extremely stretched in relation to an average, including market crashes.
How the calculation is done:
First, the distance of the price from a given average in percentage terms is measured.
Then, the historical average volatility is obtained.
Finally the indicator is calculated through the ratio between the distance and the historical volatility.
According to the description proposed by the creators, when the L&S Volatility Index is above 30 it means that the price is "stretched".
The closer to 100 the more stretched.
When it reaches 0, it means the price is on average.
█ What to look for
Basically, you should look at non-standard prices.
How to identify it?
When the oscillator is outside the Dynamic Zone and/or the Fixed Zone (above 30), it is because the price is stretched.
Nothing on the market is guaranteed.
As with the RSI, it is not because the RSI is overbought or oversold that the price will necessarily go down or up.
It is critical to know when NOT to buy, NOT to sell or NOT to do anything.
It is always important to consider the context.
█ Improvements
The following improvements have been implemented.
It should be noted that these improvements can be disabled, thus using the indicator in the "purest" version, the same as the one conceived by the creators.
Resources:
1. Customization of limits and zones:
2. Customization of the timeframe, which can be different from the current one.
3. Repaint option (prints the indicator in real time even if the bar has not yet closed. This produces more signals).
4. Customization of price inputs. This affects the calculation.
5. Customization of the reference moving average (the moving average used to calculate the price distance).
6. Customization of the historical volatility calculation strategy.
- Accumulated ATR: calculates the historical volatility based on the accumulated ATR.
- Returns: calculates the historical volatility based on the returns of the source.
Both forms of volatility calculation have their specific utilities and applications.
Therefore, it is worthwhile to have both approaches available, and one should not necessarily replace the other.
Each method has its advantages and may be more appropriate in different contexts.
The first approach, using the accumulated ATR, can be useful when you want to take into account the implied volatility of prices over time,
reflecting broader price movements and higher impact events. It can be especially relevant in scenarios where unexpected events can drastically affect prices.
The second approach, using the standard deviation of returns, is more common and traditionally used to measure historical volatility.
It considers the variability of prices relative to their average, providing a more general measure of market volatility.
Therefore, both forms of calculation have their merits and can be useful depending on the context and specific analysis needs.
Having both options available gives users flexibility in choosing the most appropriate volatility measure for the situation at hand.
* When choosing "Accumulated ATR", if the indicator becomes difficult to see, there are 3 possibilities:
a) manually adjust the Fixed Zone value;
b) disable the Fixed Zone and use only the Dynamic Zone;
c) normalize the indicator.
7. Signal line (a moving average of the oscillator).
8. Option to normalize the indicator or not.
9. Colors to facilitate direction interpretation.
Since the L&S is a volatility indicator, it does not show whether the price is rising or falling.
This can sometimes confuse the user.
That said, the idea here is to show certain colors where the price is relative to the average, making it easier to analyze.
10. Alert messages for automations.
Fixed Volatility OscillatorA fixed volatility plotter set to a 0-100 range - Plots the current volatility % using the formula to calculate volatility and stdev (standard deviation) based on the candle lookback.
The indicator is Fixed, which means that regardless of the chart, the volatility will be plotted on a percentage of 0% - 100% with a 101% threshold set to indicate a volatility reset. While the volume of volatility will change depending on the chart, the volatility will ALWAYS stay within this range.
if a plot exceeds 100% it should be marked as volatility reset - not an expansion
and should also be noted that the volatility spikes are also very inconsistent in volume and vary greatly.
The candle lookbacks on standard are organized be from 10 candles to 100 candles. I found the best results using the 50 candles lookback, and therefore have set it as the default value. These different values can be used to pull the information from the # of candles on the selected option - and therefore the volatility will be calculated from the number of candles selected.
// note for other people versed in pinescript
While this indicator may be useful in trading or strategies, it is more meant to incorporated into other scripts or used as a basis that can be further expanded on. The visuals are not built at all - for that purpose.
This script has not been listed as a library for the fact that it can be used as an actual indicator within a strategy - hope you enjoy.
Implied Volatility Suite (TG Fork)Displays the Implied Volatility, which is usually calculated from options, but here is calculated indirectly from spot price directly, either using a model or model-free using the VIXfix.
The model-free VIXfix based approach can detect times of high volatility, which usually coincides with panic and hence lowest prices. Inversely, the model-based approach can detect times of highest greed.
Forked and updated by Tartigradia to fix some issues in the calculations, convert to pinescript v5 and reverse engineered to reproduce the "Implied Volatility Rank & Model Free IVR" indicator by the same author (but closed source) and allow to plot both model-based and model-free implied volatilities simultaneously.
If you like this indicator, please show the original author SegaRKO some love:
Options Volatility Strategy Analyzer [TradeDots]The Options Volatility Strategy Analyzer is a specialized tool designed to help traders assess market conditions through a detailed examination of historical volatility, market benchmarks, and percentile-based thresholds. By integrating multiple volatility metrics (including VIX and VIX9D) with color-coded regime detection, the script provides users with clear, actionable insights for selecting appropriate options strategies.
📝 HOW IT WORKS
1. Historical Volatility & Percentile Calculations
Annualized Historical Volatility (HV): The script automatically computes the asset’s historical volatility using log returns over a user-defined period. It then annualizes these values based on the chart’s timeframe, helping you understand the asset’s typical volatility profile.
Dynamic Percentile Ranks: To gauge where the current volatility level stands relative to past behavior, historical volatility values are compared against short, medium, and long lookback periods. Tracking these percentile ranks allows you to quickly see if volatility is high or low compared to historical norms.
2. Multi-Market Benchmark Comparison
VIX and VIX9D Integration: The script tracks market volatility through the VIX and VIX9D indices, comparing them to the asset’s historical volatility. This reveals whether the asset’s volatility is outpacing, lagging, or remaining in sync with broader market volatility conditions.
Market Context Analysis: A built-in term-structure check can detect market stress or relative calm by measuring how VIX compares to shorter-dated volatility (VIX9D). This helps you decide if the present environment is risk-prone or relatively stable.
3. Volatility Regime Detection
Color-Coded Background: The analyzer assigns a volatility regime (e.g., “High Asset Vol,” “Low Asset Vol,” “Outpacing Market,” etc.) based on current historical volatility percentile levels and asset vs. market ratios. A color-coded background highlights the regime, enabling traders to quickly interpret the market’s mood.
Alerts on Regime Changes & Spikes: Automated alerts warn you about any significant expansions or contractions in volatility, allowing you to react swiftly in changing conditions.
4. Strategy Forecast Table
Real-Time Strategy Suggestions: At the close of each bar, an on-chart table generates suggested options strategies (e.g., selling premium in high volatility or buying premium in low volatility). These suggestions provide a quick summary of potential tactics suited to the current regime.
Contextual Market Data: The table also displays key statistics, such as VIX levels, asset historical volatility percentile, or ratio comparisons, helping you confirm whether volatility conditions warrant more conservative or more aggressive strategies.
🛠️ HOW TO USE
1. Select Your Timeframe: The script supports multiple timeframes. For short-term trading, intraday charts often reveal faster shifts in volatility. For swing or position trading, daily or weekly charts may be more stable and produce fewer false signals.
2. Check the Volatility Regime: Observe the background color and on-chart labels to identify the current regime (e.g., “HIGH ASSET VOL,” “LOW VOL + LAGGING,” etc.).
3. Review the Forecast Table: The table suggests strategy ideas (e.g., iron condors, long straddles, ratio spreads) depending on whether volatility is elevated, subdued, or spiking. Use these as a starting point for designing trades that match your risk tolerance.
4. Combine with Additional Analysis: For optimal results, confirm signals with your broader trading plan, technical tools (moving averages, price action), and fundamental research. This script is most effective when viewed as one component in a comprehensive decision-making process.
❗️LIMITATIONS
Directional Neutrality: This indicator analyzes volatility environments but does not predict price direction (up/down). Traders must combine with directional analysis for complete strategy selection.
Late or Missed Signals: Since all calculations require a bar to close, sharp intrabar volatility moves may not appear in real-time.
False Positives in Choppy Markets: Rapid changes in percentile ranks or VIX movements can generate conflicting or premature regime shifts.
Data Sensitivity: Accuracy depends on the availability and stability of volatility data. Significant gaps or unusual market conditions may skew results.
Market Correlation Assumptions: The system assumes assets generally correlate with S&P 500 volatility patterns. May be less effective for:
Small-cap stocks with unique volatility drivers
International stocks with different market dynamics
Sector-specific events disconnected from broad market
Cryptocurrency-related assets with independent volatility patterns
RISK DISCLAIMER
Options trading involves substantial risk and is not suitable for all investors. Options strategies can result in significant losses, including the total loss of premium paid. The complexity of options strategies requires thorough understanding of the risks involved.
This indicator provides volatility analysis for educational and informational purposes only and should not be considered as investment advice. Past volatility patterns do not guarantee future performance. Market conditions can change rapidly, and volatility regimes may shift without warning.
No trading system can guarantee profits, and all trading involves the risk of loss. The indicator's regime classifications and strategy suggestions should be used as part of a comprehensive trading plan that includes proper risk management, directional analysis, and consideration of broader market conditions.
The Ultimate ATR-BBW Market Volatility Indicator"The ATR-BBW Market Volatility Indicator combines the Average True Range (ATR) and Bollinger Bands Width (BBW) to provide a measure of market volatility. This indicator does not indicate bullish or bearish trends, but rather the magnitude of price fluctuations.
* Usage: When the indicator moves upward, it suggests increasing market volatility, indicating that prices are moving within a wider range. Conversely, a downward movement implies decreasing volatility, signifying that prices are moving within a narrower range.
* Note: This sub-indicator solely reflects market volatility and does not provide buy or sell signals.
Investing involves risk. Please conduct thorough research before making any investment decisions.
ATR and BBW Explained:
* Average True Range (ATR): ATR is a technical analysis indicator used to measure market volatility. It calculates the average of a series of true ranges, where the true range is the greatest of the following:
* The current high minus the current low
* The absolute value of the current high minus the previous close
* The absolute value of the current low minus the previous close
* A higher ATR value indicates higher volatility, while a lower value suggests lower volatility.
* Bollinger Bands Width (BBW): Bollinger Bands are plotted two standard deviations above and below a simple moving average. BBW measures the distance between the upper and lower bands. A wider BBW indicates higher volatility, as prices are moving further away from the moving average. Conversely, a narrower BBW suggests lower volatility.
Combining ATR and BBW:
By combining ATR and BBW, the ATR-BBW indicator provides a more comprehensive view of market volatility. ATR captures the overall volatility of the market, while BBW measures the volatility relative to the moving average. Together, they provide a more robust indicator of market conditions and can be used to identify potential trading opportunities.
Why ATR and BBW are Effective for Measuring Volatility:
* ATR directly measures the actual price movement, regardless of the direction.
* BBW shows how much prices are deviating from their average, indicating the strength of the current trend.
* Combined: By combining these two measures, the ATR-BBW indicator provides a more comprehensive and accurate assessment of market volatility.
In essence, the ATR-BBW indicator helps traders understand the magnitude of price fluctuations, allowing them to make more informed trading decisions.
Implied Volatility SuiteThis is an updated, more robust, and open source version of my 2 previous scripts : "Implied Volatility Rank & Model-Free IVR" and "IV Rank & IV Percentile".
This specific script provides you with 4 different types of volatility data: 1)Implied volatility, 2) Implied Volatility Rank, 3)Implied Volatility Percentile, 4)Skew Index.
1) Implied Volatility is the market's forecast of a likely movement, usually 1 standard deviation, in a securities price.
2) Implied Volatility Rank, ranks IV in relation to its high and low over a certain period of time. For example if over the past year IV had a high of 20% and a low of 10% and is currently 15%; the IV rank would be 50%, as 15 is 50% of the way between 10 & 20. IV Rank is mean reverting, meaning when IV Rank is high (green) it is assumed that future volatility will decrease; while if IV rank is low (red) it is assumed that future volatility will increase.
3) Implied Volatility Percentile ranks IV in relation to how many previous IV data points are less than the current value. For example if over the last 5 periods Implied volatility was 10%,12%,13%,14%,20%; and the current implied volatility is 15%, the IV percentile would be 80% as 4 out of the 5 previous IV values are below the current IV of 15%. IV Percentile is mean reverting, meaning when IV Percentile is high (green) it is assumed that future volatility will decrease; while if IV percentile is low (red) it is assumed that future volatility will increase. IV Percentile is more robust than IV Rank because, unlike IV Rank which only looks at the previous highs and lows, IV Percentile looks at all data points over the specified time period.
4)The skew index is an index I made that looks at volatility skew. Volatility Skew compares implied volatility of options with downside strikes versus upside strikes. If downside strikes have higher IV than upside strikes there is negative volatility skew. If upside strikes have higher IV than downside strikes then there is positive volatility skew. Typically, markets have a negative volatility skew, this has been the case since Black Monday in 1987. All negative skew means is that projected option contract prices tend to go down over time regardless of market conditions.
Additionally, this script provides two ways to calculate the 4 data types above: a)Model-Based and b)VixFix.
a) The Model-Based version calculates the four data types based on a model that projects future volatility. The reason that you would use this version is because it is what is most commonly used to calculate IV, IV Rank, IV Percentile, and Skew; and is closest to real world IV values. This version is what is referred to when people normally refer to IV. Additionally, the model version of IV, Rank, Percentile, and Skew are directionless.
b) The VixFix version calculates the four data types based on the VixFix calculation. The reason that you would use this version is because it is based on past price data as opposed to a model, and as such is more sensitive to price action. Additionally, because the VixFix is meant to replicate the VIX Index (except it can be applied to any asset) it, just like the real VIX, does have a directional element to it. Because of this, VixFix IV, Rank, and Percentile tend to increase as markets move down, and decrease as markets move up. VixFix skew, on the other hand, is directionless.
How to use this suite of tools:
1st. Pick the way you want your data calculated: either Model-Based or VixFix.
2nd. Input the various length parameters according to their labels:
If you're using the model-based version and are trading options input your time til expiry, including weekends and holidays. You can do so in terms of days, hours, and minutes. If you're using the model-based version but aren't trading options you can just use the default input of 365 days.
If you're using the VixFix version, input how many periods of data you want included in the calculation, this is labeled as "VixFix length". The default value used in this script is 252.
3rd. Finally, pick which data you want displayed from the dropdown menu: Implied Volatility, IV Rank, IV Percentile, or Volatility Skew Index.
Market Flow Volatility Oscillator (AiBitcoinTrend)The Market Flow Volatility Oscillator (AiBitcoinTrend) is a cutting-edge technical analysis tool designed to evaluate and classify market volatility regimes. By leveraging Gaussian filtering and clustering techniques, this indicator provides traders with clear insights into periods of high and low volatility, helping them adapt their strategies to evolving market conditions. Built for precision and clarity, it combines advanced mathematical models with intuitive visual feedback to identify trends and volatility shifts effectively.
👽 How the Indicator Works
👾 Volatility Classification with Gaussian Filtering
The indicator detects volatility levels by applying Gaussian filters to the price series. Gaussian filters smooth out noise while preserving significant price movements. Traders can adjust the smoothing levels using sigma parameters, enabling greater flexibility:
Low Sigma: Emphasizes short-term volatility.
High Sigma: Captures broader trends with reduced sensitivity to small fluctuations.
👾 Clustering Algorithm for Regime Detection
The core of this indicator is its clustering model, which classifies market conditions into two distinct regimes:
Low Volatility Regime: Calm periods with reduced market activity.
High Volatility Regime: Intense periods with heightened price movements.
The clustering process works as follows:
A rolling window of data is analyzed to calculate the standard deviation of price returns.
Two cluster centers are initialized using the 25th and 75th percentiles of the data distribution.
Each price volatility value is assigned to the nearest cluster based on its distance to the centers.
The cluster centers are refined iteratively, providing an accurate and adaptive classification.
👾 Oscillator Generation with Slope R-Values
The indicator computes Gaussian filter slopes to generate oscillators that visualize trends:
Oscillator Low: Captures low-frequency market behavior.
Oscillator High: Tracks high-frequency, faster-changing trends.
The slope is measured using the R-value of the linear regression fit, scaled and adjusted for easier interpretation.
👽 Applications
👾 Trend Trading
When the oscillator rises above 0.5, it signals potential bullish momentum, while dips below 0.5 suggest bearish sentiment.
👾 Pullback Detection
When the oscillator peaks, especially in overbought or oversold zones, provide early warnings of potential reversals.
👽 Indicator Settings
👾 Oscillator Settings
Sigma Low/High: Controls the smoothness of the oscillators.
Smaller Values: React faster to price changes but introduce more noise.
Larger Values: Provide smoother signals with longer-term insights.
👾 Window Size and Refit Interval
Window Size: Defines the rolling period for cluster and volatility calculations.
Shorter windows: adapt faster to market changes.
Longer windows: produce stable, reliable classifications.
Disclaimer: This information is for entertainment purposes only and does not constitute financial advice. Please consult with a qualified financial advisor before making any investment decisions.
Historical VolatilityThis script calculates the historical volatility of a given market using the standard deviation of its returns over a specified lookback period.
The indicator also includes a volatility Simple Moving Average (SMA), a VIX SMA, and the VIX index as reference market.
The script uses the inputs from the user to adjust the calculation, such as lookback period, volatility SMA period, and reference market.
The Historical Volatility indicator can be a useful tool for traders and investors who want to measure the degree of variation of a market's price over time, which can help them to better understand market trends and potential risks. This script is licensed under the Mozilla Public License 2.0, which means that it can be used, modified, and distributed under the terms of this license.
Uptrick: Volatility Weighted CloudIntroduction
The Volatility Weighted Cloud (VWC) is a trend-tracking overlay that combines adaptive volatility-based bands with a multi-source smoothed price cloud to visualize market bias. It provides users with a dynamic structure that adapts to volatility conditions while maintaining a persistent visual record of trend direction. By incorporating configurable smoothing techniques, percentile-ranked volatility, and multi-line cloud construction, the indicator allows traders to interpret price context more effectively without relying on raw price movement alone.
Overview
The script builds a smoothed price basis using the open, and close prices independently, and uses these to construct a layered visual cloud. This cloud serves both as a reference for price structure and a potential area of dynamic support and resistance. Alongside this cloud, adaptive upper and lower bands are plotted using volatility that scales with percentile rank. When price closes above or below these bands, the script interprets that as a breakout and updates the trend bias accordingly.
Candle coloring is persistent and reflects the most recent confirmed signal. Labels can optionally be placed on the chart when the trend bias flips, giving traders additional visual reference points. The indicator is designed to be both flexible and visually compact, supporting different strategies and timeframes through its detailed configuration options.
Originality
This script introduces originality through its combined use of percentile-ranked volatility, adaptive envelope sizing, and multi-source cloud construction. Unlike static-band indicators, the Volatility Weighted Cloud adjusts its band width based on where current volatility ranks within a defined lookback range. This dynamic scaling allows for smoother signal behavior during low-volatility environments and more responsive behavior during high-volatility phases.
Additionally, instead of using a single basis line, the indicator computes two separate smoothed lines for open and close. These are rendered into a shaded visual cloud that reflects price structure more completely than traditional moving average overlays. The use of ALMA and MAD, both less commonly applied in volatility-band overlays, adds further control over smoothing behavior and volatility measurement, enhancing its adaptability across different market types.
Inputs
Group: Core
Basis Length (short-term): The number of bars used for calculating the primary basis line. Affects how quickly the basis responds to price changes.
Basis Type: Option to choose between EMA and ALMA. EMA provides a standard exponential average; ALMA offers a centered, Gaussian-weighted average with reduced lag.
ALMA Offset: Determines the balance point of the ALMA window. Only applies when ALMA is selected.
Sigma: Sets the width of the ALMA smoothing window, influencing how much smoothing is applied.
Basis Smoothing EMA: Adds additional EMA-based smoothing to the computed basis line for noise reduction.
Group: Volatility & Bands
Volatility: Choose between StDev (standard deviation) and MAD (median absolute deviation) for measuring price volatility.
Vol Length (short-term): Length of the window used for calculating volatility.
Vol Smoothing EMA: Smooths the raw volatility value to stabilize band behavior.
Min Multiplier: Minimum multiplier applied to volatility when forming the adaptive bands.
Max Multiplier: Maximum multiplier applied at high volatility percentile.
Volatility Rank Lookback: Number of bars used to calculate the percentile rank of current volatility.
Show Adaptive Bands: Enables or disables the display of upper and lower volatility bands on the chart.
Group: Trend Switch Labels
Show Trend Switch Labels: Toggles the appearance of labels when the trend direction changes.
Label Anchor: Defines whether the labels are anchored to recent highs/lows or to the main basis line.
ATR Length (offset): Length used for calculating ATR, which determines label offset distance.
ATR Offset (multiplier): Multiplies the ATR value to place labels away from price bars for better visibility.
Label Size: Allows selection of label size (tiny to huge) to suit different chart setups.
Features
Adaptive Volatility Bands: The indicator calculates volatility using either standard deviation or MAD. It then applies an EMA smoothing layer and scales the band width dynamically based on the percentile rank of volatility over a user-defined lookback window. This avoids fixed-width bands and allows the indicator to adapt to changing volatility regimes in real time.
Volatility Method Options: Users can switch between two volatility measurement methods:
➤ Standard Deviation (StDev): Captures overall price dispersion, but may be sensitive to spikes.
➤ Median Absolute Deviation (MAD): A more robust measure that reduces the effect of outliers, making the bands less jumpy during erratic price behavior.
Basis Type Options: The core price basis used for cloud and bands can be built from:
➤ Exponential Moving Average (EMA): Fast-reacting and widely used in trend systems.
➤ Arnaud Legoux Moving Average (ALMA): A smoother, more centered alternative that offers greater control through offset and sigma parameters.
Multi-Line Basis Cloud: The cloud is formed by plotting two individually smoothed basis lines from open and close prices. A filled area is created between the open and close basis lines. This cloud serves as a dynamic support or resistance zone, allowing users to identify possible reversal areas. Price moving through or rejecting from the cloud can be interpreted contextually, especially when combined with band-based signals.
Persistent Trend Bias Coloring: The indicator uses the last confirmed breakout (above upper band or below lower band) to determine bias. This bias is reflected in the color of every subsequent candle, offering a persistent visual cue until a new signal is triggered. It helps simplify trend recognition, especially in choppy or sideways markets.
Trend Switch Labels: When enabled, the script places labeled markers at the exact bar where the bias direction switches. Labels are anchored either to recent highs/lows or to the main basis line, and spaced vertically using an ATR-based offset. This allows the trader to quickly locate historical trend transitions.
Alert Conditions: Two built-in alert conditions are available:
➤ Long Signal: Triggered when the close crosses above the upper adaptive band.
➤ Short Signal: Triggered when the close crosses below the lower adaptive band.
These conditions can be used for custom alerts, automation, or external signaling tools.
Display Control and Flexibility: Users can disable the adaptive bands for a cleaner layout while keeping the basis cloud and candle coloring active. The indicator can be tuned for fast or slow response depending on the strategy in use, and is suitable for intraday, swing, or position trading.
Summary
The Volatility Weighted Cloud is a configurable trend-following overlay that uses adaptive volatility bands and a structured cloud system to help visualize market bias. By combining EMA or ALMA smoothing with percentile-ranked volatility and a four-line price structure, it provides a flexible and informative charting layer. Its key strengths lie in the use of dynamic envelopes, visually persistent trend indication, and clearly defined breakout zones that adapt to current volatility conditions.
Disclaimer
This indicator is for informational and educational purposes only. Trading involves risk and may not be suitable for all investors. Past performance does not guarantee future results.
Intraday Volatility BarsThis script produce a volatility histrogram by bar with the current volatility overlayed.
The histogram shows cumulative average volatility over n days.
And the dots are todays cumulative volatility.
In other words, it calculates the True Range of each bar and adds it to todays value.
This script is build for intraday timeframes between one and 1440 minutes only.
I use this to show me when volatility is above/below/equal to the average volatility.
When the dots are above the histogram then it is a more volatile day, and vice versa.
Recognizing a more volatile day as early as possible can be an advantage for daytrader.
Days that start with higher volatility seems to continue to increase relative to the past few days. Or when midday volatility rises it seems to continue as well.
Happy Trading!
Baseline Cross Qualifier Volatility Strategy with HMA Trend BiasFor trading ES on 30min Chart
Trading Rules
Post Baseline Cross Qualifier (PBCQ): If price crosses the baseline but the trade is invalid due to additional qualifiers, then the strategy doesn't enter a trade on that candle. This setting allows you override this disqualification in the following manner: If price crosses XX bars ago and is now qualified by other qualifiers, then the strategy enters a trade.
Volatility: If price crosses the baseline, we check to see how far it has moved in terms of multiples of volatility denoted in price (ATR x multiple). If price has moved by at least "Qualifier multiplier" and less than "Range Multiplier", then the strategy enters a trade. This range is shown on the chart with yellow area that tracks price above/blow the baseline. Also, see the dots at the top of the chart. If the dots are green, then price passes the volatility test for a long. If the dots are red, then price passes the volatility test for a short.
Take Profit/Stoploss Quantity Removed
1 Take Profit: 100% of the trade is closed when the profit target or stoploss is reached.
2 Take Profits: Quantity is split 50/50 between Take Profit 1 and Take Profit 2
3 Take Profits: Quantify is split 50/25/25.
Stratgey Inputs
Baseline Length
37
Post Baseline Cross Qualifier Enabled
On
Post Baseline Cross Qualifier Bars Ago
9
ATR Length
9
Volatility Multiplier
0
Volatility Range Multiplier
10
Volatility Qualifier Multiplier
2
Take Profit Type
1 Take Profit
HMA Length
11
TechniTrend: Average VolatilityTechniTrend: Average Volatility
Description:
The "Average Volatility" indicator provides a comprehensive measure of market volatility by offering three different types of volatility calculations: High to Low, Body, and Shadows. The indicator allows users to apply various types of moving averages (SMA, EMA, SMMA, WMA, and VWMA) on these volatility measures, enabling a more flexible approach to trend analysis and volatility tracking.
Key Features:
Customizable Volatility Types:
High to Low: Measures the range between the highest and lowest prices in the selected period.
Body: Measures the absolute difference between the opening and closing prices of each candle (just the body of the candle).
Shadows: Measures the difference between the wicks (shadows) of the candle.
Flexible Moving Averages:
Choose from five different types of moving averages to apply on the calculated volatility:
SMA (Simple Moving Average)
EMA (Exponential Moving Average)
SMMA (RMA) (Smoothed Moving Average)
WMA (Weighted Moving Average)
VWMA (Volume-Weighted Moving Average)
Custom Length:
Users can customize the period length for the moving averages through the Length input.
Visualization:
Three separate plots are displayed, each representing the average volatility of a different type:
Blue: High to Low volatility.
Green: Candle body volatility.
Red: Candle shadows volatility.
-------------------------------------------
This indicator offers a versatile and highly customizable tool for analyzing volatility across different components of price movement, and it can be adapted to different trading styles or market conditions.
[SGM Volatility Lvl]Choppiness Index (CI)
The Choppiness Index is a technical analysis tool used to determine whether a market is trending or consolidating. CI values range between 0 and 100:
- Higher values (close to 100) indicate a choppy market (i.e., the market is consolidating and not trending strongly).
- Lower values (close to 0) signify a trending market (either up or down).
In this script:
- CI values above 62 are considered to represent high volatility.
- CI values below 28 are viewed as representing lower volatility or consolidation.
How the Indicator Works
Choppiness Index Calculation
The CI is calculated using the average true range (ATR) and the high-low range over the specified length:
ci = 100 * math.log10(math.sum(ta.atr(1), length_line) / (ta.highest(length_line) - ta.lowest(length_line))) / math.log10(length_line)
Volatility Determination
The script determines the market's volatility state based on CI:
if ci >= 62
ischarge := 2
if ci <= 28
ischarge := 0
- ischarge = 2 indicates high volatility.
- ischarge = 0 indicates consolidation.
Line Setup
Lines are set on the chart based on the market's volatility:
- If CI increases and indicates high volatility, a line (colored with `volcolor`) is drawn at the close price of the bar.
- If CI decreases and indicates consolidation, a line (colored with `conColor`) is drawn at the close price of the bar.
Line Extension
The lines are automatically extended to the next indicator update or bar:
for i = 0 to array.size(ray) - 1
if i < array.size(ray) - 1
current_line = array.get(ray, i)
next_line = array.get(ray, i + 1)
if not na(current_line) and not na(next_line)
line.set_x2(current_line, line.get_x1(next_line))
else
line.set_x2(current_line, bar_index)
Relevance
Identifying Key Levels
The indicator helps traders identify key levels as follows:
- High Volatility : Lines indicating high volatility suggest strong trending movements. These levels can signify breakout points or areas where the price has made significant moves.
- Consolidation : Lines indicating consolidation suggest the market is ranging. These levels can be used to identify sideways movements, areas of accumulation or distribution, and potential breakout zones.
Potential Future Points of Interest
- High Volatility Lines: Can serve as resistance or support levels if the market revisits these areas.
- Consolidation Lines: Highlight potential zones for price breakouts or reversals when the market transitions from consolidation to a trending phase.
In summary, this indicator can be particularly useful for traders looking to identify periods of high volatility and consolidation. By marking such periods on the chart, traders can better understand market behavior and spot potential trading opportunities.
Intraday Volatility Bands [Honestcowboy]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:
Breaks and Retests with Volatility Stop [HG]The "Breaks and Retests with Volatility Stop " indicator is a powerful tool designed to assist traders in identifying key support and resistance levels, breakouts, retests, and potential trend reversals. This indicator combines two essential components: support and resistance detection, and a Volatility Stop indicator for improved risk management. Below are the key features of this indicator:
**Support and Resistance Detection:**
- **Lookback Range:** Users can customize the lookback range, determining how many bars are considered when identifying support and resistance levels. This allows for flexibility in capturing short-term or longer-term levels.
- **Bars Since Breakout:** The indicator helps traders spot retests by allowing them to specify the number of bars that should occur since a breakout before considering it a potential retest.
- **Retest Detection Limiter:** Traders can set a limit on how many bars should be actively checked during a potential retest event. This feature prevents retest alerts from occurring too late, ensuring more accurate results.
- **Breakouts and Retests:** Users can choose to display or hide breakout and retest events separately, tailoring the indicator to their specific trading strategy.
- **Repainting Options:** The indicator offers three repainting options: "On," "Off: Candle Confirmation," and "Off: High & Low." This provides flexibility in choosing the repainting behavior that suits your trading style.
**Styling Options:**
- **Outline and Extend:** Traders can customize the appearance of support and resistance boxes by selecting outline styles and extension preferences.
- **Label Types and Sizes:** The indicator offers two label types, "Full" and "Simple," allowing traders to choose the level of detail displayed on the chart. Additionally, users can adjust the label size for better visibility.
- **Customizable Colors:** Support and resistance levels can be color-coded to match your preferred charting style, enhancing visibility and clarity.
- **Override Text Color:** If desired, traders can override the text color for labels, providing further customization of the indicator's appearance.
**Alerts and Notifications:**
- The indicator generates various alerts and notifications to keep traders informed about critical market events, including:
- New Support and Resistance Levels
- Support and Resistance Breakouts
- Support and Resistance Retests
- Potential Support and Resistance Retests
**Volatility Stop Indicator:**
- The "Breaks and Retests with Volatility Stop " indicator also includes a Volatility Stop component, which helps traders manage risk by indicating potential stop-loss levels based on market volatility. The Volatility Stop is color-coded to reflect the current trend direction, making it easy to identify potential trend reversals.
In summary, this TradingView indicator is a comprehensive tool designed to enhance your technical analysis and trading decisions. It provides support and resistance levels, breakout and retest alerts, and incorporates a Volatility Stop indicator for risk management, making it a valuable addition to any trader's toolkit.
VWMA/SMA Delta Volatility (Statistical Anomaly Detector)The "VWMA/SMA Delta Volatility (Statistical Anomaly Detector)" indicator is a tool designed to detect and visualize volatility in a financial market's price data. The indicator calculates the difference (delta) between two moving averages (VWMA/SMA) and uses statistical analysis to identify anomalies or extreme price movements. Here's a breakdown of its components:
Hypothesis:
The hypothesis behind this indicator is that extreme price movements or anomalies in the market can be detected by analyzing the difference between two moving averages and comparing it to a statistically derived normal distribution. When the MA delta (the difference between two MAs: VWMA/SMA) exceeds a certain threshold based on standard deviation and the Z-score coefficient, it may indicate increased market volatility or potential trading opportunities.
Calculation of MA Delta:
The indicator calculates the MA delta by subtracting a simple moving average (SMA) from a volume-weighted moving average (VWMA) of a selected price source. This calculation represents the difference in the market's short-term and long-term trends.
Statistical Analysis:
To detect anomalies, the indicator performs statistical analysis on the MA delta. It calculates a moving average (MA) of the MA delta and its standard deviation over a specified sample size. This MA acts as a baseline, and the standard deviation is used to measure how much the MA delta deviates from the mean.
Delta Normalization:
The MA delta, lower filter, and upper filter are normalized using a function that scales them to a specific range, typically from -100 to 100. Normalization helps in comparing these values on a consistent scale and enhances their visual representation.
Visual Representation:
The indicator visualizes the results through histograms and channels:
The histogram bars represent the normalized MA delta. Red bars indicate negative and below-lower-filter values, green bars indicate positive and above-upper-filter values, and silver bars indicate values within the normal range.
It also displays a Z-score channel, which represents the upper and lower filters after normalization. This channel helps traders identify price levels that are statistically significant and potentially indicative of market volatility.
In summary, the "MA Delta Volatility (Statistical Anomaly Detector)" indicator aims to help traders identify abnormal price movements in the market by analyzing the difference between two moving averages and applying statistical measures. It can be a valuable tool for traders looking to spot potential opportunities during periods of increased volatility or to identify potential market anomalies.
Fierytrading: Volatility DepthDear Tradingview community,
I'd like to share one of my staple indicators with you. The volatility depth indicator calculates the volatility over a 7-day period and plots it on your chart.
This indicator only works for the DAILY chart on BTC/USD.
Colors
I've color coded the indicator as follows:
- Red: Extreme Volatility
- Orange: High Volatility
- Yellow: Normal Volatility
- Green: Low Volatility
Red: extreme changes in price. Often during local tops and bottoms.
Orange: higher than average moves in price. Often before or after a "red" period. Often seen in the middle of bear or bull markets.
Yellow: normal price action. Often seen during early stage bull-markets and late stage bear-markets.
Green: very low price movement. Often during times of indecision. Once this indicator becomes green, you can expect a big move in either direction. Low volatility is always followed by high volatility.
In a long-term uptrend, a green period often signals a bullish break out. In a long-term downtrend it often signals a bearish break out.
How to use
Save the indicator and apply it to your chart. You can change the length in the settings, but it's optimized for 7 days, so no need to change it.
I've build in alerts for all 4 different volatility periods. In most cases, the low volatility alert is enough.
Good luck!
(FVC) Fractal Volatility Compression (DAFE) (FVC) Fractal Volatility Compression
See the Market’s Volatility DNA.
The Fractal Volatility Compression (FVC) is a next-generation tool for traders who want to see volatility compression and expansion across multiple timeframes and volatility engines—not just price, but the very structure of volatility itself.
What Makes FVC Unique?
Dual-Engine Volatility:
Plots both classic price-based (Stdev) and meta-volatility (VoVix) compression/expansion, so you can see when the market is “coiling” or “exploding” on multiple levels.
Fractal, Multi-Timeframe Analysis:
Measures volatility on short, medium, and long timeframes, then normalizes each as a Z-score. The result: a true “coiled spring” detector that works on any asset, any timeframe.
Threshold Lines You Control:
Yellow center line: Your neutral baseline.
Green compression line: When crossed, the market is “spring-loading.”
Red expansion line: When crossed, volatility is breaking out.
All lines are solid, clean, and end before the dashboard for a professional look.
Agreement Fill: When both engines agree (both above or both below the center line), a bright fill highlights the zone—red for expansion, green for compression.
Signature Dashboard & Info Line:
Dashboard (right-middle) shows all Z-scores and FVC values, color-coded for instant clarity.
Compact info label for mobile or minimalist users.
Inputs & Customization
Thresholds: Set the yellow, green, and red lines to match your asset, timeframe, and risk tolerance.
Timeframes & Lengths: Tune the short, medium, and long volatility windows for your style.
Toggle Lines: Show/hide Stdev or VoVix FVC lines independently.
Dashboard & Info Line: Toggle for your workflow and screen size.
How to Use
Compression (below green): Market is “coiling” across timeframes—watch for explosive moves.
Expansion (above red): Volatility is breaking out—expect regime shifts or trend acceleration.
Agreement Fill: When both lines agree, the signal is strongest.
Not a Buy/Sell Signal: These are regime and structure signals—combine with your own
strategy and risk management.
Why should you use FVC?
See what others can’t:
Most tools show only one dimension of volatility. FVC reveals the fractal DNA of market compression and expansion. Works on any asset, any timeframe. Professional, clean, and fully customizable.
Fractal Volatility Compression (FVC):
Because the next big move is born in the market’s hidden compression.
For educational purposes only. Not financial advice. Always use proper risk management
Use with discipline. Trade your edge.
— Dskyz, for DAFE Trading Systems
Adaptive Jurik Filter Volatility Oscillator [Loxx]Adaptive Jurik Filter Volatility Oscillator uses Jurik Volty and Adaptive Double Jurik Filter Moving Average (AJFMA) to derive Jurik Filter smoothed volatility.
What is Jurik Volty?
One of the lesser known qualities of Juirk smoothing is that the Jurik smoothing process is adaptive. "Jurik Volty" (a sort of market volatility ) is what makes Jurik smoothing adaptive. The Jurik Volty calculation can be used as both a standalone indicator and to smooth other indicators that you wish to make adaptive.
What is the Jurik Moving Average?
Have you noticed how moving averages add some lag (delay) to your signals? ... especially when price gaps up or down in a big move, and you are waiting for your moving average to catch up? Wait no more! JMA eliminates this problem forever and gives you the best of both worlds: low lag and smooth lines.
Ideally, you would like a filtered signal to be both smooth and lag-free. Lag causes delays in your trades, and increasing lag in your indicators typically result in lower profits. In other words, late comers get what's left on the table after the feast has already begun.
That's why investors, banks and institutions worldwide ask for the Jurik Research Moving Average ( JMA ). You may apply it just as you would any other popular moving average. However, JMA's improved timing and smoothness will astound you.
What is adaptive Jurik volatility?
One of the lesser known qualities of Juirk smoothing is that the Jurik smoothing process is adaptive. "Jurik Volty" (a sort of market volatility ) is what makes Jurik smoothing adaptive. The Jurik Volty calculation can be used as both a standalone indicator and to smooth other indicators that you wish to make adaptive.
What is an adaptive cycle, and what is Ehlers Autocorrelation Periodogram Algorithm?
From his Ehlers' book Cycle Analytics for Traders Advanced Technical Trading Concepts by John F. Ehlers , 2013, page 135:
"Adaptive filters can have several different meanings. For example, Perry Kaufman’s adaptive moving average ( KAMA ) and Tushar Chande’s variable index dynamic average ( VIDYA ) adapt to changes in volatility . By definition, these filters are reactive to price changes, and therefore they close the barn door after the horse is gone.The adaptive filters discussed in this chapter are the familiar Stochastic , relative strength index ( RSI ), commodity channel index ( CCI ), and band-pass filter.The key parameter in each case is the look-back period used to calculate the indicator. This look-back period is commonly a fixed value. However, since the measured cycle period is changing, it makes sense to adapt these indicators to the measured cycle period. When tradable market cycles are observed, they tend to persist for a short while.Therefore, by tuning the indicators to the measure cycle period they are optimized for current conditions and can even have predictive characteristics.
The dominant cycle period is measured using the Autocorrelation Periodogram Algorithm. That dominant cycle dynamically sets the look-back period for the indicators. I employ my own streamlined computation for the indicators that provide smoother and easier to interpret outputs than traditional methods. Further, the indicator codes have been modified to remove the effects of spectral dilation.This basically creates a whole new set of indicators for your trading arsenal."
Included
- UI options to color bars
Multiple Bollinger Bands + Volatility [AlgoTraderPro]This indicator helps traders visualize price ranges and volatility changes. Designed to assist in identifying potential consolidation zones, the indicator uses multiple layers of Bollinger Bands combined with volatility-based shading. This can help traders spot periods of reduced price movement, which are often followed by breakouts or trend reversals.
█ FEATURES
Multiple Bollinger Bands: Displays up to seven bands with customizable standard deviations, providing a layered view of price range activity.
Volatility Measurement: Tracks changes in Bollinger Band width to display volatility percentage and direction (increasing, decreasing, or neutral).
Volatility Shading: Uses color-coded shading between the outermost bands to indicate changes in volatility, helping to visualize potential consolidation zones.
Customizable Inputs: Modify lookback periods, moving average lengths, and standard deviations for each band to tailor the analysis to your strategy.
Volatility Table: Displays a table on the chart showing real-time volatility data and direction for quick reference.
█ HOW TO USE
Add the Indicator: Apply it to your TradingView chart.
Adjust Settings: Customize the Bollinger Bands’ parameters to suit your trading timeframe and strategy.
Analyze Consolidation Zones: Use the multiple bands and volatility shading to identify areas of reduced price activity, signaling potential breakouts.
Monitor Volatility: Refer to the volatility table to track real-time shifts in market volatility.
Use in Different Markets: Adapt the settings for various assets and timeframes to assess market conditions effectively.
█ NOTES
• The indicator is useful in consolidating markets where price movement is limited, offering insights into potential breakout areas.
• Adjust the settings based on asset and market conditions for optimal results.
