Note: This description is copied from the script comments. Please refer to the comments and release notes for updated information, as I am unable to edit and update this description.
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USAGE
This script gives signals based on a volatility forecast, e.g. for a stop loss. It is a simplified version of my other script "trend_vol_forecast", which incorporates a trend following system and measures performance. The "X" labels indicate when the price touches (exceeds) a forecast. The signal occurs when price crosses "fcst_up" or "fcst_down".
There are only three parameters:
- volatility window: this is the number of periods (bars) used in the historical volatility calculation. smaller number = reacts more quickly to changes, but is a "noisier" signal. - forecast periods: the number of periods for projecting a volatility forecast. for example, "21" on a daily chart means the plots will show the forecast from 21 days ago. - forecast stdev: the number of standard deviations in the forecast. for example, "2" means that price is expected to remain within the forecast plot ~95% of the time. A higher number produces a wider forecast.
The output table shows:
- realized vol: the volatility over the previous N periods, where N = "volatility window". - forecast vol: the realized volatility from N periods ago, where N = "forecast periods" - up/down fcst (level): the price level of the forecast for the next N bars, where N = "forecast periods". - up/down fcst (%): the difference between the current and forecast price, expressed as a whole number percentage.
The plots show:
- blue/red plot: the upper/lower forecast from "forecast periods" ago. - blue/red line: the upper/lower forecast for the next "forecast periods". - red/blue labels: an "X" where the price touched the forecast from "forecast periods" ago. + NOTE: pinescript only draws a limited number of labels. They will not appear very far into the past.
Notas de Lançamento
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- Changed some variable names around (see comments). - Added fcst_up_pct/fcst_down_pct as plots for emitting as alerts. - Fixed table label cells/coloring.