Adaptive Volatility-Scaled Oscillator [AVSO] (Zeiierman)

18 jam yang lalu

█ Overview

The Adaptive Volatility-Scaled Oscillator (AVSO) is a dynamic trading indicator that measures and visualizes volatility-adjusted market behavior. By scaling various metrics (such as volume, price changes, standard deviation, ATR, and Yang-Zhang volatility) and applying adaptive smoothing, AVSO helps traders identify market conditions where volatility deviates significantly from the norm.

This indicator uses standardized scaling (Z-Score logic) to highlight periods of abnormally high or low volatility relative to recent history. With gradient coloring and clear volatility zones, AVSO provides a visually intuitive way to analyze market volatility and adapt trading strategies accordingly.



█ How It Works

⚪ Scaling Metrics: The indicator scales user-selected metrics (e.g., volume, ATR, standard deviation) relative to the market and price, providing a standardized volatility measure.

⚪ Z-Score Standardization: The scaled metric is normalized using a Z-Score to measure how far current volatility deviates from its recent mean.

• Positive Z-Score: Above-average volatility.
  
• Negative Z-Score: Below-average volatility.
  

⚪ Adaptive Smoothing: An Adaptive EMA smooths the Z-Score, dynamically adjusting its length based on the strength of the volatility. Stronger deviations result in shorter smoothing, increasing responsiveness.

█ Unique Feature: Yang-Zhang Volatility

The Yang-Zhang volatility estimator sets this indicator apart by providing a more robust and accurate measure of volatility compared to traditional methods like ATR or standard deviation.

⚪ What Makes Yang-Zhang Volatility Unique?

• Comprehensive Calculation: It combines overnight price gaps (log returns from the previous close to the current open) and intraday price movements (high, low, and close).
  
• Accurate for Gapped Markets: Traditional volatility measures can misrepresent price movement when significant gaps occur between sessions. Yang-Zhang accounts for these gaps, making it highly reliable for assets prone to overnight price jumps, such as stocks, cryptocurrencies, and futures.
  
• Adaptable to Real Market Conditions: By including both close-to-open returns and intraday volatility, it provides a balanced and adaptive measure that captures the full volatility picture.
  

⚪ Why This Matters to Traders

• Better Volatility Insights: Yang-Zhang offers a clearer view of true market volatility, especially in markets with price gaps or uneven trading sessions.
  
• Improved Trade Timing: By identifying volatility spikes and calm periods more effectively, traders can time their entries and exits with greater confidence.
  

█ How to Use

Identify High and Low Volatility

• A high Z-Score (>2) indicates significant market volatility. This can signal momentum-driven moves, breakouts, or areas of increased risk.
  
• A low Z-Score (<-2) suggests low volatility or a calm market environment. This often occurs before a potential breakout or reversal.
  

Trade Signals

• High Volatility Zones (background highlight): Monitor for potential breakouts, trend continuations, or reversals.
  
• Low Volatility Zones: Anticipate range-bound conditions or upcoming volatility spikes.
  

█ Settings

• Source: Select the price source for scaling calculations (close, high, low, open).
  
• Metric Measure: Choose the volatility measure:
  
  Volume: Scales raw volume.
  Close: Uses closing price changes.
  Standard Deviation: Price dispersion.
  ATR: Average True Range.
  Yang: Yang-Zhang volatility estimate.
  
  
• Bars to Analyze: Number of historical bars used to calculate the mean and standard deviation of the scaled metric.
  
• ATR / Standard Deviation Period: Lookback period for ATR or Standard Deviation calculation.
  
• Yang Volatility Period: Period for the Yang-Zhang volatility estimator.
  
• Smoothing Period: Base smoothing length for the adaptive smoothing line.
  

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