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OPEN-SOURCE SCRIPT

Daily Risk Ranges

By lagobrian23
Updated
This indictor creates daily Risk Ranges using historical volatility, volatility skew and vol-of-vol.
Release Notes
Bug fixes
Release Notes
I changed the code to use Cornish-Fisher approximation to define the skew of the range using the volatility skew and kurtosis. I also changed the volatility parametre to respond quicker to increases in volatility than decreases in volatility to avoid paying the price for hidden volatility.
Release Notes
Implementing DCA with MA
Release Notes
What happens she you don't check ma box
cornish-fisherDCAKurtosis IndicatorriskriskrangesvolatiityskewVolatility

Open-source script

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