This uses a Rescaled Range from Benoit Mandelbrot's Misbehavior of Markets to devise a Risk Range on stocks. A trading position can be managed by selling portions at the top of the risk range and selling at the bottom of the risk range. The Length parameter defines how wide the range is and how frequently the price will reach the range bands. The Vol Length...
The Volatility Trade Indicator signals bullish / bearish trend based on the volatility of the underlying asset. During bull markets, volatility is typically low and price moves occur slowly and steadily. During bear markets, volatility is typically high and price movement is much more volatile in both directions. The Volatility Trade Indicator measures the...
This script produces a band range that uses a stochastic volatility process to come up with maximum and minimum price ranges over the specified period (using the length variable). The sample used to predict volatility can be modified using the VolLength parameter, and the extremes can be modified using the VolInflator parameter. For example, a VolLength of 30...
This was inspired by Hedgeye's Risk Ranges product and calculates daily risk ranges for assets. It uses volatility , the volatility of volatility , the skew of volatility and price to calculate a range that can be used for entries either long or short. Message me for a free 7-day trial and pricing