Expected Move BandsExpected Moves
The Expected Move of a security shows the amount that a stock is expected to rise or fall from its current market price based on its level of volatility or implied volatility. The expected move of a stock is usually measured with standard deviations.
An Expected Move Range of 1 SD shows that price will be near the 1 SD range 68% of the time given enough samples.
Expected Move Bands
This indicator gets the Expected Move for 1-4 Standard Deviation Ranges using Historical Volatility. Then it displays it on price as bands.
The Expected Move indicator also allows you to see MTF Expected Moves if you want to.
This indicator calculates the expected price movements by analyzing the historical volatility of an asset. Volatility is the measure of fluctuation.
This script uses log returns for the historical volatility calculation which can be modelled as a normal distribution most of the time meaning it is symmetrical and stationary unlike other scripts that use bands to find "reversals". They are fundamentally incorrect.
What these ranges tell you is basically the odds of the price movement being between these levels.
If you take enough samples, 95.5% of the them will be near the 2nd Standard Deviation. And so on. (The 3rd Standard deviation is 99.7%)
For higher timeframes you might need a smaller sample size.
Features
MTF Option
Parameter customization
Rangeindicator
TRI - The Range Indicator by Jack Weinberg TRI - The Range Indicator by Jack Weinberg
Developed by Jack Weinberg, Range indicator compares intraday range with inter-day range
Intraday range is bar’s (high – low) and inter-day range is (Close – Close-1)
Author had a strong belief that crossing of intraday range outside the inter-day range is an indication of end of current trend
It oscillates between 0 to 100 levels
Interpretation
RI crossing above level 80 is a signal to exit
RI below 20 is indication that a new trend is about to take charge
RI is useful to filter signal given by other studies
