Interval Volatility Bands [DW]This is an experimental study that utilizes Volume Weighted Average Price or Time Weighted Average Price calculations, Bollinger Bands, and Fibonacci numbers to estimate volatility over a specified interval.
First, the basis is calculated by selecting:
-VWAP, which has the option to be calculated using real volume or tick volume
-TWAP, which has the option to be calculated using the standard method or exponential method
Next, standard deviation from the basis is calculated and multiplied by a specified expansion coefficient. The result is then added to and subtracted from the basis to calculate the high and low bands.
There are three band calculation methods to chosse from in this script:
-Standard, which uses the default calculations
-Average, which takes a cumulative average of standard deviation
-Hybrid, which takes the maximum of the standard and average standard deviation methods
Lastly, the high and low band ranges are multiplied by Fibonacci Percentages 23.6 - 78.6.
A custom color scheme with eight default presets to choose from is included.
