Moving CO-covariance (covariance on covariance)

This is Covariance on Covariance. It shows you how much a given covariance period has deviated from it mean over another defined period. Because it is a time series, It can allow you to spot changes in how covariance changes. You can apply trend lines , Fibonacci retracements, etc. This is also volume weighting covariance.

This is not a directional indicator nor is moving covariance. This is used for forecasting volatility . This must be used in conjunction with moving covariance.
סקריפט קוד פתוח

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.

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//Moving Co-Covariance
study(title="Co-Covariance", shorttitle="MCCV", overlay=false)
src = vwap, len = input(30, minval=1, title="covariance length"), len2 = input(7, minval=1, title="Co-covariance look back length")
mean = vwma(src, len)
stdev = stdev(src, len)
covariance = (stdev/mean)
covariancemean = vwma(covariance, len2)
cstdev = stdev(covariance, len2)
cocovariance = (cstdev/covariancemean)
plot(cocovariance, title="covariance on covariance", style = line, color = aqua)