Electrified

Volatility

Library "Volatility"
Functions for determining if volatility (true range) is within or exceeds normal.
The "True Range" (ta.tr) is used for measuring volatility .
Values are normalized by the volume adjusted weighted moving average (VAWMA) to be more like percent moves than price.

current( len ) Returns the current price adjusted volatitlity ratio.
  Parameters:
    len: Number of bars to get a volume adjusted weighted average price.

normal( len , maxDeviation, level, gapDays, spec, res) Returns the normal upper range of volatility . Compensates for overnight gaps within a regular session.
  Parameters:
    len: Number of bars to measure volatility .
    maxDeviation: The limit of volatility before considered an outlier.
    level: The amount of standard deviation after cleaning outliers to be considered within normal.
    gapDays: The number of days in the past to measure overnight gap volaility.
    spec: session.regular (default), session.extended or other time spec.
    res: The resolution (default = '1440').

isNormal( len , maxDeviation, level, gapDays, spec, res) Returns true if the volatility (true range) is within normal levels. Compensates for overnight gaps within a regular session.
  Parameters:
    len: Number of bars to measure volatility .
    maxDeviation: The limit of volatility before considered an outlier.
    level: The amount of standard deviation after cleaning outliers to be considered within normal.
    gapDays: The number of days in the past to measure overnight gap volaility.
    spec: session.regular (default), session.extended or other time spec.
    res: The resolution (default = '1440').

severity( len , maxDeviation, level, gapDays, spec, res) Returns ratio of the current value to the normal value. Compensates for overnight gaps within a regular session.
  Parameters:
    len: Number of bars to measure volatility .
    maxDeviation: The limit of volatility before considered an outlier.
    level: The amount of standard deviation after cleaning outliers to be considered within normal.
    gapDays: The number of days in the past to measure overnight gap volaility.
    spec: session.regular (default), session.extended or other time spec.
    res: The resolution (default = '1440').
Catatan Pelepasan: v2 Attempt to improve performance and reduce dependencies.
Catatan Pelepasan: v3 Improved performance by exposing gap level to caller if needed. Opened up ability to use a different volatility value.

Added:
normalWithGap(len, maxDeviation, level, gapDays, spec, res, volatility) Returns the normal upper range of volatility and the normal gap value.
  Parameters:
    len: Number of bars to measure volatility.
    maxDeviation: The limit of volatility before considered an outlier.
    level: The amount of standard deviation after cleaning outliers to be considered within normal.
    gapDays: The number of days in the past to measure overnight gap volaility.
    spec: session.regular (default), session.extended or other time spec.
    res: The resolution (default = '1440').
    volatility: The value to use as a volatility measure. Default is (ta.tr) the "True Range".
  Returns:

Updated:
normal(len, maxDeviation, level, gapDays, spec, res, volatility) Returns the normal upper range of volatility. Compensates for overnight gaps within a regular session.
  Parameters:
    len: Number of bars to measure volatility.
    maxDeviation: The limit of volatility before considered an outlier.
    level: The amount of standard deviation after cleaning outliers to be considered within normal.
    gapDays: The number of days in the past to measure overnight gap volaility.
    spec: session.regular (default), session.extended or other time spec.
    res: The resolution (default = '1440').
    volatility: The value to use as a volatility measure. Default is (ta.tr) the "True Range".

isNormal(len, maxDeviation, level, gapDays, spec, res, volatility) Returns true if the volatility (true range) is within normal levels. Compensates for overnight gaps within a regular session.
  Parameters:
    len: Number of bars to measure volatility.
    maxDeviation: The limit of volatility before considered an outlier.
    level: The amount of standard deviation after cleaning outliers to be considered within normal.
    gapDays: The number of days in the past to measure overnight gap volaility.
    spec: session.regular (default), session.extended or other time spec.
    res: The resolution (default = '1440').
    volatility: The value to use as a volatility measure. Default is (ta.tr) the "True Range".

severity(len, maxDeviation, level, gapDays, spec, res, volatility) Returns ratio of the current value to the normal value. Compensates for overnight gaps within a regular session.
  Parameters:
    len: Number of bars to measure volatility.
    maxDeviation: The limit of volatility before considered an outlier.
    level: The amount of standard deviation after cleaning outliers to be considered within normal.
    gapDays: The number of days in the past to measure overnight gap volaility.
    spec: session.regular (default), session.extended or other time spec.
    res: The resolution (default = '1440').
    volatility: The value to use as a volatility measure. Default is (ta.tr) the "True Range".

Removed:
current(len) Returns the current price adjusted volatitlity ratio.
Catatan Pelepasan: v4 Improved use of data cleaning and gap detection.
Catatan Pelepasan: v5 Improved defaults.
Perpustakaan Pine

Di dalam semangat sebenar TradingView, pengarang telah menerbitkan kod Pine ini sebagai perpustakaan sumber terbuka, jadi pengaturcara-pengaturcara Pine yang lain dari komuniti kami boleh menggunakannya semula. Sorakan kepada penulis! Anda boleh menggunakan perpustakaan ini secara peribadi atau pada penerbitan-penerbitan sumber terbuka lain, tetapi penggunaan semula kod ini di dalam penerbitan adalah ditadbir oleh Peraturan Dalaman.

Penafian

Maklumat dan penerbitan adalah tidak dimaksudkan untuk menjadi, dan tidak membentuk, nasihat untuk kewangan, pelaburan, perdagangan dan jenis-jenis lain atau cadangan yang dibekalkan atau disahkan oleh TradingView. Baca dengan lebih lanjut di Terma Penggunaan.

Mahu gunakan perpustakaan ini?

Salin garisan ini dan tampalkan ia di dalam skrip anda.