Daily Historical Volatility StdDev Levels

31 ביולי 2017

Description:
This indicator plots Daily Standard deviation levels on price chart based on Historical Volatility (HV). It uses the most common approach for calculating historical volatility as standard deviation of logarithmic returns, based on daily closing/settlement prices.

Assets: Currency Pairs, Commodities, also works on stocks, some indices.
Time Frames: 5min to 60min. This will also work on Daily Chart, by setting "DaystoExpire" to 21

Options:

• Use Daily Data to Calculate StdDev HV (default), otherwise use the charts Time Frame
  
• Lookback = number of days/periods to calculate stddev of HV (21 by default)
  
• Annual = number of trading days in a calender year (252 by default)
  
• Days to Expiry = number of days for the life of this option ( for auto calculation
  this is 1 for intraday, 21 for daily and annual when chart TF used)
  
• Settlement Source = close price by default, can use another source.
  
• Settlement Volume Weighted Average Length = by setting this to >1 then an average
  is used for settlement.
  
• Display ### Standard Deviation Levels = select what levels are to be displayed.
  

References:

• How To Use Standard Deviation In Your Trading Day: https://www.youtube.com/watch?v=i28w9HBmJdQ&feature=youtu.be
• Deviation Levels Indicator: [url= youtube.com/watch?v=EjHDNIKQH5k&feature=youtu.be]youtube.com/watch?v=EjHDNIKQH5k&feature=youtu.be
• http://www.macroption.com/historical-volatility-calculation/
• Historical Volatility based Standard Deviation_V2 by ucsgears
  
• Historical Volatility Strategy by Hpotter
  

31 ביולי 2017

הערות שחרור

Corrected Change of day detection for Intraday TFs
Corrected -0.75 Label.

14 באוג׳ 2017

הערות שחרור

Small changes:

• Changed to only display background fill for upto +/- 1 Stddev.
  
• Added option to Display Todays Only Levels.
  

16 באוג׳ 2017

הערות שחרור

...

• Made changes so that it also work with Renko Charts, BUT only works well with short TF (<=5min) and brick (<=6pip).
  
• Added Option to display Previous Day's High Low Levels.
  
• Added Option to display Current Day's High Low Levels.
  
• Changed 0.75 level to 0.7 level.
  
• Shortened short title to "HVSD" for easier visual when Indicator Labels are used.
  

9 בספט׳ 2017

הערות שחרור

...

• Modified the way displaying "Only Today" levels, now only show up within the current days price action.
  

4 ביוני 2018

הערות שחרור

Efficiency Update

• Improved efficiency by reducing the number of plot lines required by adding "style=2" (Line with Breaks) to the plot options.
  
• Added fill colour for 2nd and 3rd Stddevs.
  
  

8 ביוני 2018

הערות שחרור

Minor update

• Corrected no History flag "nohist" calculation, would misread the number of days of data left in the history.