Mulai

Volatilitas Historis

Rolling Sharpe Ratio Oscillator | Astral Vision Rolling Sharpe Ratio Oscillator | Astral Vision 🌠💠 The Sharpe Ratio measures risk-adjusted return: how much excess return is being generated per unit of volatility. Applied as a rolling oscillator to Bitcoin's daily log returns, it answers a question that neither price nor momentum indicators address: is the current appreciation being earned efficiently relative to the risk being taken, or is it a volatile, noisy move that consumes large drawdowns to produce modest gains? High rolling Sharpe values indicate sustained, low-volatility uptrends where return per unit of risk is structurally elevated, historically coinciding with the most efficient phases of Bitcoin's bull runs. Negative Sharpe values indicate periods where volatility exceeds returns, marking drawdowns and bear phases. This indicator plots the annualized rolling Sharpe as a smoothed oscillator with configurable thresholds, and back-projects those thresholds onto the price chart as dynamic levels representing the price that would produce each Sharpe extreme given current return and volatility conditions. Calculation ⚙️ `Log Return = log(close / close )` `Rolling Sharpe = (SMA(Log Return, length) / StdDev(Log Return, length)) × √365` The ratio is annualized by multiplying by the square root of 365, expressing it in standard annual terms. An EMA of configurable length is then applied to smooth the raw Sharpe before threshold evaluation and coloring. The price bands invert the Sharpe thresholds back to price space: `Band Price = close × exp(threshold × StdDev / √365 × length)` This produces a dynamic price level representing what price would need to be, given current volatility, to produce the specified Sharpe value. Plots 📊 Smoothed Sharpe oscillator line in the indicator panel, colored by regime or continuous gradient Overbought and oversold threshold lines Fill between oscillator and overbought threshold when breached (distribution zone) Fill between oscillator and oversold threshold when breached (accumulation zone) Dynamic overbought and oversold price bands on the price chart, EMA-smoothed Candle coloring on the price chart by regime or gradient Background highlight on the price chart when either threshold is active Inputs 🎛️ `Lookback Period (days)`: rolling window for mean and standard deviation of log returns (default 365) `Smoothing EMA Length`: EMA applied to the raw Sharpe before all output (default 30) `Oversold Threshold`: Sharpe level marking risk-adjusted accumulation extremes (default −1.5) `Overbought Threshold`: Sharpe level marking risk-adjusted distribution extremes (default 2.8) `Use Gradient Color`: toggles between continuous gradient coloring across the −2 to +2 range and discrete regime-based coloring Colors 🎨 5 Astral Vision presets + custom override. Default: Futura. In gradient mode, color transitions continuously from negative to positive across the Sharpe range. In discrete mode, positive color activates above the overbought threshold, negative below the oversold threshold, and neutral between them. Purpose 🎯 Standard momentum indicators like RSI and MACD measure price direction and speed, but are blind to whether that directional move is being achieved efficiently. A 30% Bitcoin rally with 80% annualized volatility carries very different risk-adjusted implications than the same rally with 40% volatility, yet both look identical on a price or momentum chart. The rolling Sharpe makes that distinction explicit. The price band back-projection eliminates the need to mentally translate Sharpe values into price context: the bands show directly on the chart what price level corresponds to each statistical extreme given current volatility, updating dynamically as the volatility regime evolves. The gradient coloring option provides a continuous read of risk-adjusted efficiency across the entire oscillator range, not just at binary threshold crossings. Disclaimer ⭕️ It is not financial advice, not an investment recommendation, and not affiliated with any financial institution, research firm, or organization of any kind. All content is provided for educational and informational purposes only. Always conduct your own research before making any financial decision.
Indikator Pine Script®
oleh AstralVision
Volatility Gated Supertrend [BackQuant]Volatility Gated Supertrend Overview Volatility Gated Supertrend is a regime-aware trend-following indicator built around a modified Supertrend engine with an integrated volatility filter . Unlike a traditional Supertrend, which flips direction whenever price crosses its trailing bands, this version introduces a gating mechanism that can block trend reversals during low-volatility conditions . The purpose of the indicator is simple: Keep the responsiveness and structure of a Supertrend. Reduce false flips during sideways or compressed conditions. Allow trend transitions primarily when volatility is expanding enough to justify participation. The result is a smoother and more selective trend engine designed to suppress whipsaws while still reacting to meaningful directional movement. The full source structure for the indicator can be referenced here: :contentReference {index=0} Core idea Traditional Supertrend indicators work well during directional markets but struggle in compressed environments: Price repeatedly crosses the trailing bands. Trend direction flips too frequently. False reversals appear during chop. This indicator attempts to solve that problem by asking: “Is there enough volatility expansion to justify accepting a new trend?” Instead of blindly allowing every flip, the indicator measures: Current volatility, Baseline volatility, Relative expansion or compression. Only when volatility conditions are sufficient does the trend engine allow a directional transition. What the Supertrend is The Supertrend is a volatility-based trailing trend indicator built from: ATR (Average True Range) A central price source A directional trailing stop structure The classic logic: Upper band = price source + ATR × multiplier Lower band = price source − ATR × multiplier These bands trail price dynamically: In bullish conditions, the lower band ratchets upward. In bearish conditions, the upper band ratchets downward. When price crosses one of the bands: The trend flips direction. This creates a clean directional regime model. How this version differs The major difference is the volatility gate . A normal Supertrend asks: “Did price cross the band?” This indicator asks: “Did price cross the band, and is volatility strong enough to trust the move?” That additional filter dramatically changes behavior in sideways conditions. ATR and volatility structure The indicator uses two ATR measurements: Fast ATR → current short-term volatility Slow ATR → baseline long-term volatility The core ratio: Volatility Ratio = Fast ATR / Slow ATR Interpretation: Ratio above threshold → volatility expansion Ratio below threshold → volatility compression This becomes the gate logic. Volatility Gate Logic The gate opens only when: Fast ATR / Slow ATR ≥ Gate Threshold If volatility is too compressed: The gate closes. Trend flips are blocked. Importantly: The Supertrend bands still calculate normally. Price can still cross them. But the directional state will not update while the gate is closed. This distinction matters because it means: The market may technically trigger a reversal, But the indicator intentionally ignores it if volatility conditions are weak. Why this helps Most trend-following systems fail in chop because: Small meaningless moves trigger directional flips. There is insufficient range expansion. The market lacks trend persistence. By requiring volatility confirmation: Weak reversals are filtered out. Trend state becomes more stable. Noise is reduced. This makes the indicator particularly useful during: Low-volatility consolidations, Mean-reverting conditions, Slow drifting ranges. Band construction The indicator uses: hl2 as the central source, ATR for dynamic width, A configurable multiplier for sensitivity. Formulas: Upper Band = hl2 + ATR × multiplier Lower Band = hl2 − ATR × multiplier The trailing logic prevents the bands from moving backward unnecessarily: Bullish lower band only rises. Bearish upper band only falls. This creates the staircase-style trailing structure common in Supertrend systems. Trend state Trend direction is binary: 1 = bullish -1 = bearish A raw bullish flip occurs when: Close > trailing upper band A raw bearish flip occurs when: Close < trailing lower band However: The trend only updates if the volatility gate is open. This is the defining behavior of the script. Blocked flips One of the most important features is the visualization of blocked signals . When: Price crosses a band, But volatility is insufficient, The script: Plots an X-cross marker, Keeps the existing trend state, Refuses the flip. This gives traders visibility into: Potential but unconfirmed reversals, Areas of weak participation, Fake breakouts or low-energy transitions. Visual behavior Trend band The active trailing band changes color based on trend direction: Bullish → bullish color Bearish → bearish color Gate closed → gated color (dimmed) Trend fill The script fills the space between price and the active band: Bullish fill during bullish regimes Bearish fill during bearish regimes This creates a cleaner directional overlay. Outer glow An additional glow layer expands slightly beyond the trend band: Adds directional emphasis, Improves trend readability, Visually reinforces active regime. When the gate closes: The band and candles dim. This visually communicates: “The trend engine is currently suppressing flips.” Candle coloring Candles can optionally inherit the trend state: Bullish regime → bullish candles Bearish regime → bearish candles Gate closed → dimmed neutral appearance This allows the indicator to function as a full-chart regime overlay. Signal logic Bullish signal Occurs when: Trend flips from bearish to bullish, AND the gate is open. Bearish signal Occurs when: Trend flips from bullish to bearish, AND the gate is open. Blocked signal Occurs when: A raw flip condition appears, BUT volatility ratio is below threshold. This distinction is important: A blocked signal is not ignored information. It is a rejected transition. How to interpret the gate Gate open Volatility is active. Market expansion is sufficient. Trend flips are allowed. Gate closed Market is compressed. Conditions are likely choppy. Trend reversals are suppressed. This effectively turns the indicator into a: Trend-following system during expansion, Trend-holding system during compression. Why ATR ratio works well ATR ratio is a powerful regime detector because it measures: Current volatility relative to normal volatility. Not just: “Is volatility high?” But: “Is volatility high relative to its recent baseline?” This adaptive behavior allows the gate to work across: Different assets, Different timeframes, Different volatility environments. Input guide ATR Multiplier Controls band width: Higher = wider bands, fewer flips Lower = tighter bands, more sensitivity ATR Length Controls volatility calculation for the Supertrend itself. Fast ATR Short-term volatility measure. Slow ATR Long-term baseline volatility measure. Gate Threshold Controls how strict the gate is: Lower threshold = more permissive Higher threshold = more restrictive Example: 0.6 → allows more flips 1.0 → requires current volatility to match baseline 1.2 → requires expansion regime Strengths Reduces Supertrend whipsaws in chop. Adds regime awareness. Uses adaptive volatility filtering. Clean trend visualization. Blocked-signal logic provides extra context. Limitations Can delay reversals during early expansion. Very high thresholds may suppress legitimate transitions. Still fundamentally a trend-following system. Not designed for low-volatility mean reversion trading. Best use case Volatility Gated Supertrend works best as: A directional regime filter, A swing trend overlay, A volatility-aware trend confirmation tool, A way to suppress noise during consolidations. It is particularly useful for traders who: Like Supertrend logic, But dislike how often it flips in sideways markets. Summary Volatility Gated Supertrend extends the classic Supertrend framework by introducing a volatility-aware gating engine that blocks trend reversals during compressed market conditions. By comparing fast ATR against slow ATR, the script determines whether enough volatility expansion exists to justify a directional transition. The result is a cleaner, more stable trend system that retains the strengths of Supertrend logic while dramatically reducing whipsaws during low-energy market regimes.
Indikator Pine Script®
oleh BackQuant
6
Relative ATR Volatility IndicatorThis relative volatility regime indicator measures whether current volatility is high, low, or "normal" compared to its own recent historical range. It calculates ATR, then compares the current ATR reading against a rolling percentile window. By default, it looks back over the last 100 bars and marks: The upper volatility threshold, based on the 80th percentile of recent ATR readings (red) The lower volatility threshold, based on the 20th percentile of recent ATR readings (green) With the default settings of a 100-bar Rolling Window Length, Top Percentile of 80, and Bottom Percentile of 20: If the white ATR line is above the red line, current volatility is in the highest 20% of recent ATR readings. If the white ATR line is below the green line, current volatility is in the lowest 20% of recent ATR readings. In other words, the script ranks current ATR against its own recent history and highlights volatility extremes. This makes it easier to objectively identify whether a market is currently in a high-volatility, low-volatility, or normal-volatility regime. The indicator is directionally agnostic. A high ATR reading does not mean price is bullish or bearish; it simply means the market is moving more than usual. High ATR can occur during bullish expansion, bearish selloffs, large gaps, or choppy high-range conditions. The main values are: White line = current ATR value Red line = upper ATR percentile threshold Green line = lower ATR percentile threshold Grey line = middle 50th percentile (turned off in Style Settings by default) ATR Ratio Upper = current ATR divided by the upper threshold ATR Ratio Lower = current ATR divided by the lower threshold The ATR Ratio values can be used as an input by other scripts or strategies: ATR Ratio Upper above 1 means ATR is above the upper volatility threshold ATR Ratio Lower below 1 means ATR is below the lower volatility threshold This script uses Pine Script's ta.percentile_nearest_rank() function to calculate rolling ATR percentile thresholds. This is a lagging indicator, like most indicators, but it provides a useful way to classify volatility regimes objectively.
Indikator Pine Script®
oleh ZenAndTheArtOfTrading
1
Volatility Radar - Muti-Timeframe [PUCHON]Volatility Radar — MTF Reads ATR% , Historical Volatility (HV%) , and Bollinger Band Width (BBW%) across 5 timeframes simultaneously. Classifies each timeframe into a volatility regime — LOW / NORMAL / HIGH / EXTREME — using percentile rank computed independently per timeframe. A single consensus row summarises all 5 timeframes into one actionable signal. Open-source script — full code visible in Pine Script editor. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ WHAT MAKES IT DIFFERENT Most volatility tools work on a single timeframe. This dashboard: Runs three independent metrics per timeframe via bundled request.security() — one call per TF, no redundant data fetching Classifies regime using ta.percentrank() computed inside each TF's own bar history — "HIGH" on 5m and "HIGH" on Daily are both statistically meaningful relative to that TF's own past Renders a unicode sparkline row █░ to compare relative ATR across all timeframes at a glance Neon Dark styling: regime label pinned to last candle, colored regime badges, candle coloring, background state tint ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ HOW TO READ EACH ROW Row 1 — ATR % Average True Range as a percentage of price. Answers: "How large are the candles right now, relative to price?" Higher ATR% = bigger candles, wider spreads, larger stop loss needed Compare across TFs: if 5m ATR% suddenly equals the 60m ATR%, intraday volatility has spiked unexpectedly Color reflects regime: Neon Green = Low Cyan = Normal Red = High Magenta = Extreme Row 2 — HV % Historical Volatility (annualized). Standard deviation of log returns × √252. Answers: "At what annualized rate is this asset moving right now?" Rising HV = market accelerating. Falling HV = compressing toward a squeeze Cross-TF: if 5m HV is 3% but Daily HV is 37%, short-term is calm inside a long-term volatile environment — mean-reversion setup signal Displayed in neutral Cyan — informational, not regime-colored Row 3 — BBW % Bollinger Band Width = (Upper BB − Lower BB) / Midline × 100. Low BBW = bands squeezing → breakout risk rising High BBW = bands expanded → trend or momentum is active BBW spike after a Low regime = early breakout confirmation Multiple TFs showing Low BBW simultaneously = convergent squeeze — watch closely Row 4 — REGIME Percentile rank of current ATR% against the last Regime Lookback bars of that same timeframe. LOW — below 25th percentile → unusually quiet; possible accumulation or squeeze NORMAL — 25th–75th percentile → average conditions; trend-following works well HIGH — 75th–90th percentile → elevated; widen stops, reduce position size EXTREME — above 90th percentile → rare spike; consider standing aside Regime is relative to the instrument's own history. 0.5% ATR could be LOW on a volatile crypto but EXTREME on a blue-chip stock. The percentile rank adapts automatically. Row 5 — ATR▐ (Sparkline) Unicode bar █ (filled) / ░ (empty) — each TF's ATR% as a proportion of the highest ATR% across all columns. Longest bar = most volatile timeframe right now Normal: bars grow left (5m) to right (Daily) — higher TFs are naturally more volatile in absolute terms Warning: a short-TF bar suddenly matching a long-TF bar → intraday volatility spike Bar color matches the regime of that column Row 6 — SIGNAL Consensus across all 5 timeframes. Counts TFs in HIGH or EXTREME regime. STABLE — NORMAL VOLATILITY → 0–1 TFs elevated. Trade normally. ELEVATED ACROSS TIMEFRAMES → 2–3 TFs elevated. Widen stops, reduce size. ⚠ RISK OFF — EXTREME VOLATILITY → 4–5 TFs elevated. Consider standing aside. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ CANDLE & BACKGROUND COLORING Candles and background tint reflect the current chart timeframe's regime: 🟢 LOW — calm market, potential accumulation zone 🔵 NORMAL — standard conditions, trend strategies work well 🔴 HIGH — elevated, tighten stops and reduce size 🟣 EXTREME — dangerous conditions, reduce or close exposure A glow label above the last candle shows the current regime at a glance. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ PRACTICAL SCENARIOS Scenario A — Safe to trade All TFs: NORMAL or LOW → SIGNAL: STABLE Action: Use momentum strategies. ATR% bars are short and roughly equal. Scenario B — Reduce size 5m: NORMAL | 15m: HIGH | 60m: EXTREME | 240m: HIGH | D: NORMAL → SIGNAL: ELEVATED Action: Widen stop to accommodate 60m ATR range. Reduce position by 30–50%. The 60m sparkline bar will be the longest — confirming where volatility is concentrated. Scenario C — Stand aside ALL TFs: EXTREME → SIGNAL: ⚠ RISK OFF Action: Wait for regime to cool to NORMAL before re-entering. Occurs during major news events, flash crashes, or market opens. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ HOW TO USE Add to any chart as an overlay — works on all instruments and timeframes Set your 5 analysis timeframes in the Timeframes settings group Check REGIME row — identify which timeframes are elevated Check SIGNAL row — use as your position sizing guide Read sparkline bar row — longest bar = where volatility is concentrated Enable candle coloring and background tint for instant visual scanning Set alert on Regime Escalation to be notified when volatility rises Set alert on Regime Cooling to re-enter after a volatility spike ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ SETTINGS GUIDE TF 1–5 — Five analysis timeframes (default: 5 / 15 / 60 / 240 / Daily) ATR Length (default: 14) — ATR period. 14 is standard; increase for smoother values on noisy instruments HV Length (default: 20) — Log-return standard deviation lookback for HV% BBW Length (default: 20) — Bollinger Band period for width calculation Regime Lookback (default: 100) — Percentile rank window per TF. Higher = more stable labels, slower to react. Lower = faster but noisier Color Candles by Regime — Toggle neon candle coloring on/off Background Tint — Toggle near-invisible regime background tint ATR% Sparkline Row — Toggle unicode bar chart row visibility Table Position — Move dashboard to any of the four chart corners ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ ALERTS Five built-in alert conditions: Extreme Volatility — current TF enters EXTREME regime High+ Volatility — current TF enters HIGH or EXTREME regime Low Volatility — current TF enters LOW regime (watch for squeeze) Regime Escalation — volatility rises from Normal to High/Extreme Regime Cooling — volatility falls back from High/Extreme to Normal Set via: Right-click chart → Add alert → Condition: Volatility Dashboard — MTF ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ LIMITATIONS Regime needs at least Regime Lookback confirmed bars on each TF. First bars on very high timeframes may show "—" until enough history is loaded HV uses √252 annualization (trading days). Crypto 24/7 markets are slightly understated — actual annualized vol is ~17% higher than displayed Does not predict direction. HIGH and EXTREME regimes occur in both strong trends and sharp crashes. Use with a directional indicator Requesting a TF lower than the chart's own TF has no effect — Pine Script cannot look inside the current bar Current (unconfirmed) bar values update in real time and may differ from the final bar-close value. This is normal behavior, not repainting ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ OPEN SOURCE Published under Mozilla Public License 2.0 . Free to use, modify, and build upon. If you publish a modified version, credit to the original script is appreciated. ⚠ Disclaimer: This script is for educational and informational purposes only. It does not constitute financial advice. Volatility analysis does not guarantee profitable trades. Past volatility patterns do not predict future price movements. Always conduct your own analysis and apply proper risk management before trading.
Indikator Pine Script®
oleh ProPuchon
ETHDVOL based Ethereum VolatilityThis indicator maps Ethereum's expected price range across three timeframes — daily, weekly, and monthly — using the Ethereum Deribit Volatility Index (ETHDVOL) as the implied volatility source and realized historical volatility (HV7, HV14, HV30) as the measured counterpart. ETHDVOL is Ethereum's equivalent of the VIX. It represents the market's forward-looking expectation of annualized volatility, derived from Deribit options pricing. When ETHDVOL is high, the market expects large moves. When it is low, the market expects compression. By scaling ETHDVOL and realized vol into dollar-denominated price bands anchored to key opens, this indicator gives you a structural volatility map directly on the ETH price chart — no separate pane required. The core concept is straightforward: options market participants price expected ranges. Those ranges become levels. Price respects them — not always, not perfectly, but consistently enough to be meaningful as reference and used in comparison to what is realized. How to Read the Bands The Anchoring System Each set of bands is anchored to a specific open and held fixed for its entire period. They do not drift or repaint mid-period. **Weekly bands** lock on Saturday's opening price and ETHDVOL reading at the start of each crypto week. They hold for the full 7-day period. This Saturday anchor matters: the crypto options and perpetuals market structurally resets around the Saturday UTC open. Weekly expiries settle on Fridays, and Saturday represents the cleanest "new week" anchor available on a 24/7 market. **Monthly bands** lock on the 1st of each calendar month and hold for the entire month. They represent the options market's expectation of how far ETH could move over a 30-day window from that open. **Daily bands** reset each day at 00:00 UTC and reflect that day's opening price and current live volatility readings. They are the tightest, most reactive bands on the chart. The Band Pairs Each timeframe shows two bands — one from implied volatility (IV) and one from realized historical volatility (HV): **IV bands** (white weekly, white monthly) represent what the options market *expects* ETH to move. These are forward-looking. They define the market's priced range for the period. **HV14 Weekly** (orange) represents the actual realized volatility over the past 14 days, scaled to a weekly move. When HV14 is inside the IV band, the market is pricing more risk than it has been delivering — a low-volatility regime. When HV14 approaches or exceeds the IV band, realized vol is catching up to or exceeding what was priced. **HV30 Monthly** (orange-red) is the 30-day realized volatility scaled to a monthly move. This sits alongside the monthly IV band and gives context for whether the current month's implied range is historically generous or tight. **HV7 Today** (light yellow) is a live daily band using the most recent 7 days of realized volatility anchored to today's open. It is the most sensitive reading — useful for intraday context and identifying when daily price movement is pushing into or through the short-term realized range. **IV Today** (faded white) is the same daily scaling but using DVOL — today's implied daily range from the options market. It is intentionally faded to keep the chart readable. The Info Table The top-left badge shows three live readings updated on every bar: - **IV %** — the current ETHDVOL weekly reading with a heat emoji (🔥 above 60%, ❄️ below 40%, ⚡ in between) - **HV14 %** — the Saturday-latched realized vol for the week - **HV14/IV ratio** — the percentage of realized vol relative to implied. ✅ below 95% means RV is running below IV (options are pricing more than has been delivered). ⚠️ at or above 95% means RV is catching up to or exceeding IV — a higher-energy regime. - **Daily change** — BTC price change from today's open in both % and dollar terms The Saturday Anchor Line The ⚓ Sat Open line marks the weekly anchor price. It is the midpoint of the weekly IV and HV14 bands. Price reclaiming or failing at this line is significant — it is the reference price that all weekly band math is built from. Trend Channels Two sets of dynamic trendlines auto-draw based on pivot structure — a shorter-period dashed pair and a longer-period solid pair. They update continuously as new pivots form. Green slope = bullish structure on that channel. Red slope = bearish. They reset on the 1st of each calendar month, giving enough bars to build meaningful structure across a full monthly cycle rather than resetting too frequently on the weekly. --- Settings Walkthrough Display Toggles ✅ Show Weekly Open Line | The ⚓ Sat Open midline ✅ Show Weekly Bands (IV + HV14) | Both white IV weekly and orange HV14 bands together ✅ Show Monthly Bands (IV + HV30) | Both white IV monthly and orange-red HV30 bands together ✅ Show HV7 Today (daily rotating) | The light yellow daily realized vol band — resets each day ✅ Show IV Today (daily rotating) | The faded white daily implied vol band — resets each day The weekly and monthly band pairs are intentionally linked — IV and HV are most useful when compared against each other, so they toggle as a unit. Label Proximity Gate ($) When multiple bands converge near the same price level, the chart can become cluttered with overlapping labels. The Proximity Gate controls how close a daily band label can be to a weekly or monthly level before it is suppressed. The **line still draws** — only the text label is hidden. **Default: $50.** At this setting, a daily HV7 or IV Today label will be hidden if it sits within $50 of any weekly or monthly band. Increase this value if you want a cleaner chart with fewer labels. Decrease it if you want to see all labels even when levels are close together. **Practical guidance:** 💡 On wider perspectives toggle HV7/IV (daily) off and widen 'proximity label gate' to reduce screen clutter 💡 On narrow perspectives keep the daily looks with a tighter 'proximity label gate' Trend Line Settings Short and long pivot periods are adjustable independently. The defaults (10 and 16) are calibrated for the 30-minute timeframe. On the 1-hour chart, consider reducing both slightly. On 15-minute, increasing them gives more stable pivots. Because the trendlines reset monthly rather than weekly, they have sufficient bars to establish meaningful channel structure — particularly useful for identifying multi-week compression patterns and directional bias across the full monthly vol cycle. 🚨 General — The indicator is most powerful when used to identify when price is testing a band confluence — for example, when the weekly IV lower and monthly HV30 lower are within close range of each other. Those areas represent options-market-defined support zones where two independent vol calculations agree. --- *Indicator is designed for ETHUSD. Requires access to DERIBIT:ETHDVOL data on TradingView. Works on intraday timeframes only — weekly and monthly band projections display for the current period.*
Indikator Pine Script®
oleh splitmyIVandmelt
VolEdge: 0DTE Vol ContextHi everyone! Serge is here! Your feedback is highly appreciated. Consider two mornings where VIX sits at 18. On the first, VIX1D reads 14 — the options market is pricing a quiet session, roughly ±0.9% on SPX. An iron butterfly-centered at the open makes sense. On the second morning, VIX1D reads 22 — today is expected to move nearly 40% more than the 30-day baseline implies. The same iron butterfly could blow through its short strikes before lunch. This indicator surfaces that difference before you put on a trade. What it does Pulls CBOE's VIX1D index (1-day implied volatility), compares it against VIX (30-day baseline), and produces four outputs: 1. Day type classification The VIX1D/VIX ratio is the core signal. When the ratio is at or above 1.0, the market is pricing today as more volatile than a typical day this month. When it sits at or below 0.75, today is expected to be quieter than normal. Four buckets: EXPANSION DAY — ratio at or above 1.0. Above-average move priced in. Directional debit spreads and long straddles are better positioned than pure theta plays. EVENT DAY — ratio at or above 1.30. Something significant is priced in — Fed minutes, CPI, or an intraday shock. This is not the environment for short premium without substantial width and reduced size. COMPRESSION DAY — ratio at or below 0.75. Quieter than normal. Iron butterflies, short strangles, and narrow credit spreads work best when the market expects to grind. NORMAL DAY — ratio between thresholds. Standard 0DTE setups apply; use VIX9D for the short-term weekly context. 2. Expected SPX move in points and percent VIX1D is annualized. Dividing by the square root of 252 converts it to a single-day 1 standard deviation move. On a day where VIX1D is 16, the expected move is roughly plus or minus 1.0% — about 53 SPX points at current levels. Approximately 68% of sessions close within this range. The indicator displays both the point and percentage values, and optionally draws the bands on your chart anchored to today's open. 3. Historical context for the ratio Today's VIX1D/VIX ratio is percentile-ranked against the past 90 days (adjustable). If the ratio is in the top 10% of recent history, the indicator flags it. A ratio that looks elevated in absolute terms may be ordinary for the current regime; percentile ranking removes that ambiguity. 4. VIX9D as a bridge VIX1D covers today. VIX covers the next 30 days. VIX9D sits between them and captures the short-term weekly risk window — useful context when today reads Normal but a known event lands later in the week. How to use it Check the panel before sizing any 0DTE position. The day type and strategy tip give you the framework; the expected move and ratio percentile give you the calibration. On an Expansion Day, widen your strikes or reduce size. The market has already priced in a larger move — selling a narrow butterfly into that environment means your tent is too small for the storm that's priced in. On a Compression Day, tighten your structures. Theta burns fastest in quiet sessions, and the options market is telling you it expects quiet. This is where iron butterflies and short strangles earn their keep. On an Event Day, the default answer is to sit out or cut size significantly. If you do trade, treat it as a directional bet, not a theta play — the implied move is large enough that short premium needs substantial wing width to survive. On a Normal Day, use the expected move bands as your tent anchor and check VIX9D to make sure nothing is brewing later in the week. Inputs Show expected move lines on chart — draws the plus/minus 1 standard deviation bands anchored to today's SPX open Show data table — toggle the panel on or off Table position — top right, top left, bottom right, or bottom left Expansion threshold — the VIX1D/VIX ratio at which the day is classified as Expansion (default 1.00) Event threshold — the ratio at which the day escalates to Event (default 1.30) Compression threshold — the ratio at or below which the day is classified as Compression (default 0.75) Alert VIX1D level — fires when VIX1D crosses above this absolute level Lookback for percentile — how many trading days to use when ranking today's ratio (default 90) Alerts Three alert conditions are available. Set them once and let them run pre-market. VIX1D crosses above your chosen threshold — useful as an absolute spike warning VIX1D/VIX ratio enters the top 10% of recent history — fires when today's relative vol is a genuine outlier, regardless of the absolute VIX level Day type changes — fires when the classification shifts, for example from Normal to Expansion intraday Data sources CBOE:VIX1D, CBOE:VIX, CBOE:VIX9D, SP:SPX. All fetched on the daily timeframe. The indicator works correctly on intraday charts — all vol data is anchored to the daily close regardless of chart resolution.
Indikator Pine Script®
oleh Volweather
ADX with Trend/Range Zone BandsADX with Trend/Range Zone Bands This is an enhanced version of the classic Average Directional Index (ADX) indicator, designed to help traders instantly identify whether the market is **trending** or **ranging** — without any ambiguity. **🔍 What's New** - **Color-coded ADX line** — turns teal in trending markets, orange in ranging markets, and gray in transitional zones - **Fixed zone bands** — two always-visible shaded regions define the range and trend areas at a glance - **Dynamic background highlight** — the chart background changes color when ADX enters a confirmed zone - **Fully customizable** — adjust the lower band (range threshold), upper band (trend confirmation), and zone colors to fit your trading style **📊 How to Read It** | ADX Value | Zone | Interpretation | |---|---|---| | Below Lower Band (default 20) | 🟠 Orange | Ranging market — avoid trend-following entries | | Between bands (20–40) | ⬜ Gray | Transitional — proceed with caution | | Above Upper Band (default 40) | 🟢 Teal | Strong trend — favor momentum strategies | **💡 Best Used For** - Futures & crypto derivatives traders who need quick market condition reads - Filtering signals from trend-following systems (MA crossovers, breakouts) - Avoiding false breakouts during low-ADX consolidation phases *Works on all timeframes and asset classes.* --- ADX 趋势/震荡区间可视化指标 本指标在经典 ADX 的基础上进行增强，通过**直观的色带与变色曲线**，帮助交易者在第一时间判断当前市场处于**趋势行情**还是**震荡行情**，无需反复猜测。 **🔍 新增功能** - **ADX 曲线动态变色** —— 趋势行情显示蓝绿色，震荡行情显示橙色，过渡区显示灰色 - **固定区间色带** —— 两个常驻阴影区域，随时标注震荡区与趋势区的边界，一目了然 - **动态背景高亮** —— 当 ADX 进入确认区间时，图表背景自动切换颜色，强化视觉提示 - **参数完全可调** —— 震荡上限、趋势确认线、色带颜色均可自定义，适配不同交易风格 **📊 如何读图** | ADX 数值 | 区间 | 行情判断 | |---|---|---| | 低于震荡上限（默认 20） | 🟠 橙色区 | 震荡市 —— 避免追趋势单，适合区间策略 | | 介于两线之间（20–40） | ⬜ 灰色过渡 | 趋势形成中 —— 轻仓观望，等待确认 | | 高于趋势确认线（默认 40） | 🟢 蓝绿区 | 强趋势市 —— 顺势持仓，适当放宽止损 | **💡 适用场景** - 加密货币合约、期货交易者快速判断市场状态 - 过滤均线交叉、突破等趋势信号，避免震荡期频繁被套 - 结合其他指标使用，在强趋势区间内提高入场胜率 *适用于所有时间周期与交易品种。*
Indikator Pine Script®
oleh xiaoVinter
Supply & Demand: Cumulative Volume Delta Flow [ChartPrime]🔶 OVERVIEW The Supply & Demand: CVD Flow indicator is a high-performance structural analysis tool that merges classic price-action Supply and Demand (S&D) zones with real-time order flow data. Unlike traditional S&D indicators that only show price boxes, this tool embeds a Cumulative Volume Delta (CVD) Wave directly inside every active zone. This allows traders to see not just where the market turned, but the intensity of the volume delta that has accumulated within that zone since its creation. 🔶 CORE CONCEPT — VOLUME DELTA WITHIN STRUCTURE Supply and Demand zones represent areas where a significant imbalance between buyers and sellers occurred. Demand Zones: Created when a bearish "base" candle is followed by a high-momentum bullish breakout. Supply Zones: Created when a bullish "base" candle is followed by a high-momentum bearish breakout. By integrating CVD, the indicator tracks the net buying vs. selling volume (Delta) that occurs as price lives within or returns to these zones. This provides a "live" look at whether a zone is being defended by big players or if interest is fading. 🔶 THE CVD FLOW WAVE (POLYLINE ENGINE) The standout feature of this indicator is the CVD Polyline Wave drawn inside the boxes: Visualizing Order Flow: The wave oscillates within the zone's boundaries based on cumulative volume delta. Demand CVD (Cyan): A rising wave suggests aggressive market buying is supporting the demand zone. Supply CVD (Orange): A falling wave suggests aggressive market selling is reinforcing the supply zone. Real-time Updates: The wave and the numerical CVD value in the label update dynamically with every bar, providing a clear view of the "Volume Flow" inside the structure. 🔶 SMART DETECTION & MITIGATION To maintain technical accuracy and chart clarity, the script employs several advanced management logic: ATR-Based Momentum: Breakouts are validated using a Momentum Multiplier . A zone is only formed if the breakout candle is significantly larger than the recent Average True Range (ATR), ensuring only high-conviction moves are captured. Overlap Protection: The script automatically checks for redundant zones. If a new zone forms over an existing one, it filters the overlap to keep the chart clean. Dynamic Mitigation: A Demand Zone is deleted instantly if price closes below its bottom (failed demand). A Supply Zone is deleted instantly if price closes above its top (failed supply). 🔶 INDICATOR INPUTS ATR Length & Momentum Multiplier: Fine-tune the sensitivity of zone detection. Higher multipliers filter for "Power" breakouts. Max Active Zones: Limits the number of zones displayed to prevent performance lag and visual clutter. Custom Colors: Full control over zone fills, borders, and the internal CVD wave colors. Show Signals: Toggle the "△" and "▽" markers that appear at the moment of breakout. 🔶 HOW TO USE Zone Validation: When price returns to a Demand zone, look at the CVD label. If the CVD is strongly positive and the wave is rising, it indicates that buyers are actively defending the level. Absorption Detection: If price is sitting in a Demand zone but the CVD wave is making lower lows, it may indicate "absorption"—where sellers are exhausting the available buy orders, potentially leading to a zone failure. Targeting: Use Supply zones as logical take-profit areas for longs, and Demand zones for shorts, while using the internal CVD flow to judge if price is likely to bounce or break through. 🔶 CONCLUSION Supply & Demand: CVD Flow represents a new evolution in structural trading. By moving beyond simple price boxes and incorporating a high-fidelity Cumulative Volume Delta engine, it gives traders an "X-ray" view of the order flow dynamics driving supply and demand. It is an essential tool for traders who want to combine the reliability of market structure with the precision of volume-based order flow analysis.
Indikator Pine Script®
oleh ChartPrime
6
VolEdge: VRP GaugeVOLEDGE: VRP GAUGE — Is option premium rich or thin right now? Before you sell a single option, you should know the answer to one question: are options overpriced relative to what the market is actually doing? The Variance Risk Premium answers this. It is the single most important macro-level number for anyone who sells options for income. Also note that reversal from rich to kind of poorer premiums tends to show market reversals. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ WHAT IT DOES Displays the Variance Risk Premium: the spread between implied volatility (VIX) and realized volatility (30-day historical vol on the S&P 500). VRP = VIX minus HV30 When VRP is large and positive, options are expensive relative to actual market movement. Premium sellers have a statistical edge — they are being paid more than the risk they are taking on. When VRP is near zero or negative, options are fairly priced or cheap. Selling offers little edge or no edge at all. Buying vol may be the better play. The indicator shows the VRP value, its percentile rank over the last 90 days (configurable), a visual gauge, the underlying components (VIX and HV30), the 5-day trend, and a plain-language strategy interpretation. It also plots a color-coded VRP histogram in its own chart pane so you can see how premium richness has evolved over time. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ WHY VRP MATTERS Most retail options traders check IV Rank on individual stocks — "is AAPL's IV high relative to its own history?" That is a useful question, but it misses the bigger picture. VRP answers the macro question: "Is it a good day to sell options at all?" When VIX is 20 and SPX has been realizing 20% annualized vol, there is no premium to harvest. VRP is near zero. You are selling options at fair value and taking on risk for no statistical edge. When VIX is 20 and SPX has been realizing 12% annualized vol, VRP is +8. Options are significantly overpriced. Every strangle, iron condor, and short put you sell has a built-in statistical edge because the market is pricing in more movement than is actually occurring. This is the fundamental asymmetry that drives institutional premium selling. Implied volatility exceeds realized volatility roughly 85% of the time — that is the variance risk premium. But the size of that premium varies enormously. Selling when VRP is rich compounds returns. Selling when VRP is thin or negative erodes them. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ VRP CLASSIFICATION — FIVE LEVELS RICH (VRP above 5, percentile above 75th): Premium is meaningfully overpriced relative to realized vol. This is the sweet spot for premium sellers. Options are expensive, and the market is not moving as much as options pricing implies. Strangles, iron condors, short puts, and credit spreads all have favorable expected value. This is when you can be most aggressive with premium selling — within your normal risk management rules. ABOVE AVERAGE (VRP above 5, percentile 50th–75th): Premium is above its recent average but not at extremes. Selling conditions are favorable. Standard position sizing applies. You have an edge, but it is not as large as during RICH periods. FAIR (VRP between 0 and 5, percentile 25th–75th): Premium is roughly in line with realized vol. There is a small edge to selling, but it is modest. Be selective — only sell on stocks with individually elevated IV rank. Avoid aggressive sizing. This is the "be patient" zone. THIN (VRP between 0 and 5, percentile below 25th): Premium is below its recent average. The edge from selling is minimal. This is a good time to reduce premium selling activity, tighten existing positions, or wait for better conditions. If you do sell, stick to the highest-conviction setups only. NEGATIVE (VRP below 0): Options are cheap relative to realized vol. The market is moving more than options pricing implies. This is rare and typically occurs during fast-moving selloffs where realized vol spikes faster than VIX. Selling premium here is unfavorable — you are being paid less than the risk. Consider buying vol instead: long straddles, debit spreads, or VIX calls. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ HOW TO USE IT — PRACTICAL WORKFLOW Daily pre-market check: Before entering any premium selling trade, glance at the VRP Gauge. If it reads RICH or ABOVE AVG, you have a green light to sell premium at normal or slightly increased size. If it reads FAIR, be selective. If it reads THIN or NEGATIVE, reduce activity or pivot to directional or long-vol strategies. Combining with individual stock IV Rank: The VRP Gauge tells you about the macro premium environment. Individual stock IV rank tells you about that specific stock. The best setup is: VRP RICH (macro edge) plus stock IV rank above 50th percentile (stock-level edge). Selling premium when both macro and stock-level conditions are favorable stacks the odds meaningfully in your favor. Combining with the Vol Weather Report: VRP RICH during a Normal or Low vol regime is the highest-confidence premium selling environment. VRP RICH during an Elevated or Crisis regime means premiums are rich but so is risk — size down accordingly. Using the percentile reading: The raw VRP number is useful, but the percentile tells you context. A VRP of +6 might be average in one market environment and exceptional in another. The percentile rank over the last 90 days (configurable) tells you whether today's VRP is historically rich or normal for recent conditions. Using the 5-day trend: VRP rising means the edge for sellers is improving — implied vol is expanding faster than realized vol, or realized vol is declining while VIX holds steady. VRP falling means the edge is shrinking. A falling VRP during a low-vol regime is a caution signal: realized vol may be catching up to implied vol, often before a volatility expansion. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ WHAT IS ON THE DASHBOARD Row 1 — VRP classification badge: RICH / ABOVE AVG / FAIR / THIN / NEGATIVE with color-coded background Row 2 — VRP value: the headline number (e.g. +7.24) in large text Row 3 — Visual gauge bar: fills from left to right as VRP increases, colored by classification Row 4 — Percentile rank: where today's VRP sits relative to the last 90 days (configurable) Row 5 — Implied vol: current VIX level Row 6 — Realized vol: HV30 (or configurable lookback) calculated on SPX Row 7 — 5-day trend: Rising / Stable / Falling, with the value from 5 days ago Row 8 — Strategy context: plain-language interpretation of current VRP conditions Chart pane: VRP histogram showing the daily VRP value over time. Green bars = rich, yellow = fair, red = negative. Reference lines at 0 (breakeven), +5 (rich threshold), and -2 (deeply negative). ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ THE CALCULATION Realized volatility (HV30): Standard deviation of daily log returns on the S&P 500 over the last 30 trading days, annualized by multiplying by the square root of 252. HV = stdev(ln(close / close_previous), 30) * sqrt(252) * 100 Variance Risk Premium: VRP = VIX - HV30 Percentile rank: Counts what percentage of VRP values over the lookback period (default 90 days) were lower than today's reading. A reading of 82 means today's VRP is higher than 82% of the last 90 days. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ SETTINGS Realized Vol Lookback: number of days for HV calculation (default 30, range 10–60) VRP Percentile Lookback: number of days for percentile ranking (default 90, range 30–252) Show VRP Histogram: toggle the chart-pane histogram on or off Show Visual Gauge Bar: toggle the gauge bar in the table on or off Table position: choose where the panel appears Text size: Small / Normal / Large ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ ALERTS VRP Rich — fires when VRP crosses above 5 and is in the top quartile. Premium selling conditions are strong. VRP Thin — fires when VRP drops below 2. Selling edge is diminishing. VRP Negative — fires when VRP crosses below zero. Options are cheap vs realized vol. VRP 90th+ Percentile — fires when VRP is in the top 10% of its recent range. Exceptionally rich premium. VRP Bottom 10th Percentile — fires when VRP is in the bottom 10% of its recent range. Exceptionally thin premium. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ WHAT MAKES THIS DIFFERENT Several TradingView scripts calculate historical volatility. A few compare VIX to HV. None of them: — Present VRP with a percentile rank for historical context — Classify VRP into actionable categories (Rich / Fair / Thin / Negative) — Show the 5-day trend in the premium environment — Provide a strategy context sentence for each classification — Include a visual gauge and color-coded histogram for quick pattern recognition The Variance Risk Premium is an institutional-grade signal used by professional options market makers and vol funds as a core input to their selling decisions. This indicator makes it accessible to any options trader with a TradingView account. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ ACADEMIC BACKGROUND The variance risk premium — the tendency of implied volatility to exceed realized volatility — is one of the most documented phenomena in options markets. Key findings: Implied vol exceeds realized vol approximately 85% of the time across major equity indices. The average VRP on the S&P 500 has been roughly 3–5 percentage points over multi-decade samples, but varies widely from negative to 15+ during stress periods. The VRP is compensation for bearing volatility risk. When markets are calm, investors overpay for downside protection (puts), which inflates VIX relative to what actually happens. Premium sellers harvest this overpayment. However, the VRP inverts during fast crashes when realized vol spikes above implied vol. This is exactly when premium sellers take their largest losses. Monitoring VRP in real time — not just knowing it exists on average — is critical for avoiding the trap of selling into a thin or negative VRP environment. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ WHAT THIS INDICATOR IS NOT It is not a timing signal for individual trades. VRP tells you the macro premium environment, not which stock to sell or when to enter. It is not a guarantee of profitability. VRP being RICH means the odds favor sellers on average, but individual trades can still lose. Risk management still applies. It uses VIX as the implied vol proxy and HV30 on SPX as the realized vol proxy. These are standard institutional measures, but they are not perfect representations of the vol surface for every product or expiration. For individual stock premium selling, combine this macro VRP reading with the stock's own IV rank. It is not financial advice. It is an analytical tool for your own decision-making. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ DISCLAIMER This indicator is for educational and informational purposes only. It is not financial advice and should not be used as the sole basis for any trading decision. The variance risk premium is a well-documented statistical phenomenon, but past patterns do not guarantee future results. Options trading involves substantial risk of loss. Always do your own research and consider consulting a licensed financial advisor.
Indikator Pine Script®
oleh Volweather
2
VolEdge: Regime ClockVOLEDGE: REGIME CLOCK — How long can vol regime last? Every premium seller has the same question during calm markets: "How much longer can low vol last?" Every trader caught in a VIX spike asks: "When does this end?" This indicator gives you data-driven answers to both questions. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ WHAT IT DOES Counts consecutive trading days in the current volatility regime and compares that duration against historical benchmarks from 35+ years of VIX data (1990–2025). The output: "Day 47 of Low Vol. AGING phase. 72% of periods this long resolve within 10 trading days." The duration meter shifts from green to yellow to orange to red as the regime exceeds its historical median, 75th percentile, and 90th percentile duration. Four duration phases: GREEN — YOUNG: below median duration, regime is fresh, no urgency YELLOW — AGING: at or above median, regime is maturing, start monitoring ORANGE — EXTENDED: above 75th percentile, elevated probability of transition RED — EXTREME: above 90th percentile, historically rare, prepare for regime change ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ WHY DURATION MATTERS Volatility clusters. Low vol begets low vol — until it doesn't. This has been one of the most robust findings in financial research since Mandelbrot's 1963 observation that "large changes follow large changes." GARCH models confirm that volatility persistence parameters for equities typically hit 0.99, meaning regimes are highly persistent. But they also mean-revert. The longer a regime has persisted, the more statistical weight shifts toward a transition. Published research on VIX mean reversion (Harbourfront Technologies, 1990–2017) found that after a 6% VIX spike in a high-vol regime, there is approximately a 73% probability of reversion within 20 days. In low-vol regimes, VIX spike reversion probability drops to about 61%. IG Markets research identified a composite vol cycle of roughly 100 days build-up, a spike, then 100 days of normalization — an asymmetric pattern that traders intuitively sense but have no tool to track. This indicator turns that research into a live countdown on your chart. Historical duration benchmarks hardcoded from CBOE VIX daily close data: Low Vol regime (VIX below 15): Median duration: approximately 35 trading days 75th percentile: approximately 65 days 90th percentile: approximately 110 days Normal regime (VIX 15–20): Median: approximately 25 trading days 75th percentile: approximately 50 days 90th percentile: approximately 80 days Elevated regime (VIX 20–30): Median: approximately 15 trading days 75th percentile: approximately 30 days 90th percentile: approximately 55 days Crisis regime (VIX above 30): Median: approximately 8 trading days 75th percentile: approximately 15 days 90th percentile: approximately 25 days Key insight: Crisis regimes are short and violent. Low vol regimes can stretch for months but become increasingly fragile the longer they persist. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ HOW TO USE IT — BY TRADER TYPE Premium sellers: When the clock is GREEN (young regime), your current strategy is fine. No adjustments needed. When it turns YELLOW (aging), start paying closer attention to VVIX and term structure for early transition signals. Consider tightening new positions slightly. When it turns ORANGE (extended), reduce size on new positions. An extended low-vol regime means you have been collecting thin premiums for a while and the probability of a spike is growing. This is not the time to add aggressive short vol positions. When it turns RED (extreme), you should be at minimum position size. The statistical case for a transition is strong. If you are short vol, this is the time to take profits, tighten stops, or hedge. Swing and directional traders: Extended low-vol regimes often precede sharp moves in either direction. When the clock turns orange or red during low vol, consider reducing leveraged positions or adding protective options. Extended crisis regimes (rare — above 90th percentile) are historically some of the best mean-reversion buying opportunities for equities. But timing the exact bottom requires more signals than duration alone. Vol traders: Regime extensions above the 90th percentile are high-probability mean reversion setups. If low vol has persisted for 100+ days, long vol positions (VIX calls, long straddles, UVXY) have favorable asymmetry. If crisis has persisted for 20+ days, short vol positions have favorable asymmetry — but size conservatively because the tail risk in crisis is enormous. Risk managers: Use the duration percentile as a direct input to position sizing. A simple rule: reduce maximum position size by 10% for each phase beyond YOUNG. Normal size in YOUNG, 90% in AGING, 80% in EXTENDED, 70% in EXTREME. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ WHAT IS ON THE DASHBOARD Row 1 — Regime badge: current regime with color-coded background (same classification as the VolEdge Vol Weather Report) Row 2 — Duration: "Day 47" in large text. This is the headline number. Row 3 — Duration meter: a visual progress bar that fills as the regime ages, colored by phase Row 4 — Phase label: YOUNG / AGING / EXTENDED / EXTREME with the median, 75th, and 90th percentile benchmarks for the current regime Row 5 — Resolution probability: estimated percentage of historical regimes at this duration that resolved within 10 trading days Row 6 — Key data: VIX level and VIX/VIX3M ratio (compact reference) Row 7 — Context sentence: plain-language interpretation that adapts to the current phase Row 8 — Regime history strip: last 3 regime periods with their durations, showing the recent pattern Chart background gets a subtle orange or red tint when the duration enters EXTENDED or EXTREME phase. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ HOW THE REGIME IS CLASSIFIED This indicator uses the same weighted composite scoring as the VolEdge Vol Weather Report: VIX spot level: 40% weight VVIX (volatility of VIX): 30% weight VIX/VIX3M ratio (term structure proxy): 30% weight Composite score 0–25 = Low, 25–50 = Normal, 50–75 = Elevated, 75–100 = Crisis If you use both the Vol Weather Report and the Regime Clock, they will always agree on the current regime because they use identical classification logic. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ RESOLUTION PROBABILITY — A NOTE ON METHODOLOGY The "X% resolve within 10 days" probability is calculated from a simplified interpolation of historical VIX regime durations. It is directionally accurate — longer durations do correlate with higher transition probabilities — but the exact percentages are approximations, not precise statistical outputs. The numbers are derived from published VIX mean reversion research and approximate survival curves for each regime. They should be used as context, not as precise predictions. If you are a quantitative trader and want exact numbers, download the CBOE VIX daily close CSV and calculate your own survival distributions. I may update these benchmarks with more precise values in future versions. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ SETTINGS Table position: choose where the panel appears on your chart Text size: Small / Normal / Large Show regime history strip: toggle the historical regime sequence on or off Show resolution probability: toggle the probability callout on or off ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ ALERTS Regime Change — fires when the regime transitions in any direction Duration Hit Median — fires when the current regime reaches its historical median duration Extended Regime (75th percentile) — fires when duration exceeds the 75th percentile for the current regime type Extreme Extension (90th percentile) — fires when duration exceeds the 90th percentile Entered Crisis — fires specifically when the market enters Crisis regime Exited Crisis — fires when the market leaves Crisis regime To set up: click the Alerts button on your chart, select this indicator, and choose the condition. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ WHAT MAKES THIS DIFFERENT There are over a dozen volatility regime classifiers on TradingView. Every one of them classifies the current state — high vol, low vol, compression, expansion. None of them measure how long that state has persisted or what duration implies about what comes next. This is the only indicator on TradingView that: — Counts consecutive days in each regime — Compares current duration against 35 years of historical VIX data — Classifies duration into phases (young, aging, extended, extreme) — Provides a resolution probability estimate — Tracks regime history so you can see the recent pattern The concept is academically grounded but has never been productized as a live trading tool. "Day X of Low Vol" is a framing that is instantly intuitive and answers the question every premium seller asks during calm markets. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ WHAT THIS INDICATOR IS NOT It is not a timing signal. "Extended regime" does not mean "the regime ends tomorrow." Regimes can persist well beyond the 90th percentile — they just rarely do. It is not a substitute for analyzing the specific catalyst environment. A low-vol regime that is extended during a period of Fed tightening uncertainty is different from one during a goldilocks macro environment. It is not financial advice. It is an analytical framework that adds a dimension — time — to your volatility analysis. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ PART OF THE VOLEDGE SUITE This is indicator 2 of 9 in the VolEdge volatility toolkit. Free indicators: Vol Weather Report — multi-factor regime classification with strategy context Regime Clock (this one) — duration tracking with historical benchmarks VRP Gauge — is option premium rich or thin right now? (coming soon) 0DTE Vol Context — is today an expansion day or a theta-burn day? (coming soon) VVIX Ratio Percentile — the most underused signal in vol trading (coming soon) Selling Bias Compass — should you sell puts or calls today? (coming soon) Paid (VolEdge Pro Suite): Naked Seller Risk Score — per-ticker 0–100 safety score (coming soon) Options Timing Dashboard — strategy recommendation for any stock (coming soon) Earnings Vol Analyzer — IV crush prediction with historical data (coming soon) Follow VolEdge to get notified when new indicators launch. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ DISCLAIMER This indicator is for educational and informational purposes only. It is not financial advice and should not be used as the sole basis for any trading decision. Historical duration benchmarks are approximations derived from published research and may not perfectly reflect future regime behavior. Past patterns in volatility regimes do not guarantee future results. Options trading involves substantial risk of loss. Always do your own research and consider consulting a licensed financial advisor.
Indikator Pine Script®
oleh Volweather
DVOL based Bitcoin Volatility This indicator maps Bitcoin's expected price range across three timeframes — daily, weekly, and monthly — using the Deribit Volatility Index (DVOL) as the implied volatility source and realized historical volatility (HV7, HV14, HV30) as the measured counterpart. DVOL is Bitcoin's equivalent of the VIX. It represents the market's forward-looking expectation of annualized volatility, derived from Deribit options pricing. When DVOL is high, the market expects large moves. When it is low, the market expects compression. By scaling DVOL and realized vol into dollar-denominated price bands anchored to key opens, this indicator gives you a structural volatility map directly on the BTC price chart — no separate pane required. The core concept is straightforward: options market participants price expected ranges. Those ranges become levels. Price respects them — not always, not perfectly, but consistently enough to be meaningful as reference and used in comparison to what is realized. How to Read the Bands The Anchoring System Each set of bands is anchored to a specific open and held fixed for its entire period. They do not drift or repaint mid-period. **Weekly bands** lock on Saturday's opening price and DVOL reading at the start of each crypto week. They hold for the full 7-day period. This Saturday anchor matters: the crypto options and perpetuals market structurally resets around the Saturday UTC open. Weekly expiries settle on Fridays, and Saturday represents the cleanest "new week" anchor available on a 24/7 market. **Monthly bands** lock on the 1st of each calendar month and hold for the entire month. They represent the options market's expectation of how far BTC could move over a 30-day window from that open. **Daily bands** reset each day at 00:00 UTC and reflect that day's opening price and current live volatility readings. They are the tightest, most reactive bands on the chart. The Band Pairs Each timeframe shows two bands — one from implied volatility (IV) and one from realized historical volatility (HV): **IV bands** (white weekly, white monthly) represent what the options market *expects* BTC to move. These are forward-looking. They define the market's priced range for the period. **HV14 Weekly** (orange) represents the actual realized volatility over the past 14 days, scaled to a weekly move. When HV14 is inside the IV band, the market is pricing more risk than it has been delivering — a low-volatility regime. When HV14 approaches or exceeds the IV band, realized vol is catching up to or exceeding what was priced. **HV30 Monthly** (orange-red) is the 30-day realized volatility scaled to a monthly move. This sits alongside the monthly IV band and gives context for whether the current month's implied range is historically generous or tight. **HV7 Today** (light yellow) is a live daily band using the most recent 7 days of realized volatility anchored to today's open. It is the most sensitive reading — useful for intraday context and identifying when daily price movement is pushing into or through the short-term realized range. **IV Today** (faded white) is the same daily scaling but using DVOL — today's implied daily range from the options market. It is intentionally faded to keep the chart readable. The Info Table The top-left badge shows three live readings updated on every bar: - **IV %** — the current DVOL weekly reading with a heat emoji (🔥 above 60%, ❄️ below 40%, ⚡ in between) - **HV14 %** — the Saturday-latched realized vol for the week - **HV14/IV ratio** — the percentage of realized vol relative to implied. ✅ below 95% means RV is running below IV (options are pricing more than has been delivered). ⚠️ at or above 95% means RV is catching up to or exceeding IV — a higher-energy regime. - **Daily change** — BTC price change from today's open in both % and dollar terms The Saturday Anchor Line The ⚓ Sat Open line marks the weekly anchor price. It is the midpoint of the weekly IV and HV14 bands. Price reclaiming or failing at this line is significant — it is the reference price that all weekly band math is built from. Trend Channels Two sets of dynamic trendlines auto-draw based on pivot structure — a shorter-period dashed pair and a longer-period solid pair. They update continuously as new pivots form. Green slope = bullish structure on that channel. Red slope = bearish. They reset on the 1st of each calendar month, giving enough bars to build meaningful structure across a full monthly cycle rather than resetting too frequently on the weekly. --- Settings Walkthrough Display Toggles ✅ Show Weekly Open Line | The ⚓ Sat Open midline ✅ Show Weekly Bands (IV + HV14) | Both white IV weekly and orange HV14 bands together ✅ Show Monthly Bands (IV + HV30) | Both white IV monthly and orange-red HV30 bands together ✅ Show HV7 Today (daily rotating) | The light yellow daily realized vol band — resets each day ✅ Show IV Today (daily rotating) | The faded white daily implied vol band — resets each day The weekly and monthly band pairs are intentionally linked — IV and HV are most useful when compared against each other, so they toggle as a unit. Label Proximity Gate ($) When multiple bands converge near the same price level, the chart can become cluttered with overlapping labels. The Proximity Gate controls how close a daily band label can be to a weekly or monthly level before it is suppressed. The **line still draws** — only the text label is hidden. **Default: $200.** At this setting, a daily HV7 or IV Today label will be hidden if it sits within $200 of any weekly or monthly band. Increase this value if you want a cleaner chart with fewer labels. Decrease it if you want to see all labels even when levels are close together. **Practical guidance:** 💡 On wider perspectives toggle HV7/IV (daily) off and widen 'proximity label gate' to reduce screen clutter 💡 On narrow perspectives keep the daily looks with a tighter 'proximity label gate' Trend Line Settings Short and long pivot periods are adjustable independently. The defaults (10 and 16) are calibrated for the 30-minute timeframe. On the 1-hour chart, consider reducing both slightly. On 15-minute, increasing them gives more stable pivots. Because the trendlines reset monthly rather than weekly, they have sufficient bars to establish meaningful channel structure — particularly useful for identifying multi-week compression patterns and directional bias across the full monthly vol cycle. 🚨 General — The indicator is most powerful when used to identify when price is testing a band confluence — for example, when the weekly IV lower and monthly HV30 lower are within close range of each other. Those areas represent options-market-defined support zones where two independent vol calculations agree. --- *Indicator is designed for BTCUSD. Requires access to DERIBIT:DVOL data on TradingView. Works on intraday timeframes only — weekly and monthly band projections display for the current period.*
Indikator Pine Script®
oleh splitmyIVandmelt
3
PG Premium - Master Volatility HubHow to Interpret & Trade the Signals 1. The Volatility Squeeze (Preparation Phase) Signal: Histogram bars turn Orange. Meaning: The market is coiling. Range is < 70% of the average. Action: Do not enter yet. This is the "loading" phase. Watch for which side the breakout occurs. 2. High-Conviction Bullish Breakout (Buy Signal) Signal: A Royal Blue bar appears + Green Line (Crossover) climbs above 1.0. Meaning: The squeeze has released to the upside with institutional volume. Action: Potential Long entry. Place stop-loss at the low of the previous Orange squeeze zone. 3. High-Conviction Bearish Breakdown (Sell Signal) Signal: A Pure Black bar appears + Green Line (Crossover) climbs above 1.0. Meaning: Aggressive selling has entered the market. Action: Potential Short entry. Place stop-loss at the high of the recent consolidation. 4. The "Hollow" Trap (Warning Signal) Signal: Price moves significantly, but the bar is Dark Gray. Meaning: This is a "low-fuel" move. Price is expanding, but volume is below the 1.2x threshold. Action: Exercise caution. These moves often result in "v-shape" reversals or fake-outs. Pro-Trading Tips The Volatility Regime (Red Line): If the Red Line is rising above 1.0, the market is becoming generally more volatile. Expect wider swings and consider wider stop-losses. If it is below 1.0, the market is in a "quiet regime"—breakouts may be smaller. The "Double Confirmation": The most powerful trades happen when a Blue/Black bar appears exactly as the Green Line crosses the 1.0 level from below. This confirms that both the single-bar range and the multi-bar average are expanding at the same time. Suggested "Release Note" Summary for Users "For best results, use this on the 1H or 4H timeframes to filter out intraday noise. This indicator does not predict direction—it identifies Conviction. Always align the Blue/Black signals with your existing trend-following strategy or key Support/Resistance levels."
Indikator Pine Script®
oleh ipuneet
Average Volatility ZonesDisplays the average volatility range directly on the chart as horizontal levels projected from the current period's open. The indicator calculates the average candle size (High-Low or True Range) over a configurable period and timeframe (default: Daily, 20 bars), then draws upper and lower lines at that distance from the current timeframe open — showing how far price typically moves within one period. Key features: - Multi-timeframe support — measure volatility from any timeframe (M15 to Monthly) - Scalable levels — optional 2x, 3x, and custom multiplier levels for extended volatility zones - Zone mode — converts lines into shaded bands based on a percentage of the average volatility - Automatic pip detection for forex pairs (supports 5-digit and 3-digit brokers) - Each level is labeled with its timeframe, period, and value in pips - Fully customizable colors, line styles, label positioning, and zone transparency Useful for gauging intraday range potential, setting realistic targets, identifying overextended moves, and filtering entries near volatility extremes.
Indikator Pine Script®
oleh zemanjose
VEP Engine SP BPS Strategy FilterVEP Engine – Volatility Edge Pullback | SP/BPS Strategy Filter VEP Engine identifies stocks with a strong trend, an attractive volatility premium, and clean pullback timing for short put and bull put spread strategies. | Total Score | Vola Score | Pullback Score | Interpretation | ----------- | ---------- | -------------- | --------------------------------------- | high | high | high | A+ Setup | high | high | medium | good Setup, check timing | high | low | high | good Pullback, but weak premium | low | high | high | high volatility, but risky structure
Indikator Pine Script®
oleh mpralle85
SMC Session MarkersA clean session timing indicator for Smart Money Concepts traders. Plots vertical markers for: Asia session London session New York session Killzones Stock market cash opens The indicator includes forward-looking session markers to help plan upcoming trading windows, with an optional history mode for reviewing past sessions during analysis. Designed to stay minimal and unobtrusive, using thin dotted lines and small labels instead of chart shading.
Indikator Pine Script®
oleh TheRealJSmith
Parkinson Range Oscillator [BackQuant]Parkinson Range Oscillator Overview Parkinson Range Oscillator is a volatility regime indicator built around the Parkinson volatility estimator , a high-low based variance model originally proposed as a more statistically efficient alternative to close-to-close volatility. Instead of measuring volatility from closing returns, this script measures volatility from the intrabar price range using ln(H/L), then converts it into a normalized oscillator (z-score) so you can identify volatility expansion vs compression relative to the asset’s own history. The indicator is designed to answer questions like: Is volatility currently elevated or suppressed relative to its baseline? Is volatility expanding (risk rising) or compressing (coiling)? How extreme is the current vol state in percentile terms? How does range-based vol compare to a more common ATR-based vol read? It plots: A Parkinson-based volatility z-score oscillator with gradient fills. A signal line (EMA) for expansion/compression transitions. An ATR-based z-score for context comparison. A dashboard with current vol %, z-score, percentile rank, regime label, and ATR z-score. Where Parkinson volatility comes from (origin and intuition) The Parkinson estimator comes from academic finance and the study of volatility estimation. The key insight is simple: The daily high and low contain more information about variability than the close alone. Close-to-close volatility only uses one price per bar (the close), throwing away intrabar information. The high-low range captures the realized dispersion inside the bar, so under ideal assumptions it can estimate variance more efficiently. The Parkinson model is derived assuming: Price follows a continuous-time diffusion process (often framed like geometric Brownian motion). No drift matters for the variance estimate over the interval. No jumps and no microstructure distortions (idealized). Even though real markets violate these assumptions (gaps, jumps, wicks from order flow), the estimator remains useful because: Range is still a strong proxy for realized volatility. It reacts to intrabar expansion earlier than close-based methods. It is less dependent on where the bar closes. Core Parkinson formula (what the script implements) Parkinson variance for a window of n bars is: Var = (1 / (4 * n * ln(2))) * Σ This script computes it in the common rolling form: logHL2 = (ln(high/low))² parkVar = SMA(logHL2, n) / (4 * ln(2)) parkVol = sqrt(parkVar) * 100 Key details: ln(H/L) makes the range scale-invariant (percent-like), so it behaves more consistently across price levels. Squaring gives variance contribution. The 1/(4 ln 2) constant comes from the expected distribution of high-low range under a Brownian diffusion. sqrt converts variance to standard deviation (volatility). *100 expresses it as a percentage for readability. So parkVol is a “range-based realized volatility proxy” in percent terms. Why range-based volatility behaves differently than ATR ATR measures average true range, which is a linear range magnitude measure (high-low plus gaps). Parkinson uses ln(H/L) which is: Log-scaled (closer to a return-based measure). More directly tied to variance estimation theory. In practice: ATR can be driven by gaps and absolute range. Parkinson is driven by proportional range and tends to emphasize how wide the bar is relative to its price level. Parkinson often reacts sharply when wicks expand even if closes are stable. Normalization into an oscillator (making it comparable through time) Raw volatility values are hard to interpret across regimes because every market has different “normal.” This script normalizes Parkinson volatility against its own rolling baseline using a z-score: parkMA = SMA(parkVol, baselineLen) parkSD = stdev(parkVol, baselineLen) osc = (parkVol - parkMA) / parkSD Interpretation: osc = 0 means current vol is at its baseline average. osc = +1 means 1 standard deviation above normal (high vol). osc = -1 means 1 standard deviation below normal (compressed). osc > +2 flags extreme expansion states. This is the core output. It turns “volatility” into “volatility regime” in standardized units. Signal line and expansion/compression transitions The oscillator is smoothed with an EMA to create a signal line: signal = EMA(osc, signalLen) Then transitions are defined as: Expansion cross: crossover(osc, signal) and osc > 0 Compression cross: crossunder(osc, signal) and osc < 0 Why the extra osc > 0 and osc < 0 conditions: It prevents treating small oscillations around zero as meaningful. It forces expansion signals to occur in above-average volatility territory. It forces compression signals to occur in below-average volatility territory. So signals are regime-confirming, not constant cross spam. Percentile rank (how extreme is vol relative to the past) In addition to the z-score, the script computes the percentile rank of the raw Parkinson volatility: pctRank = percentrank(parkVol, pctRankLookback) Interpretation: pctRank near 90–100 means current vol is among the highest levels seen in that lookback. pctRank near 0–10 means it is among the lowest (compression). Z-score tells you “how many SDs from mean.” Percentile tells you “how rare is this state historically.” Those are different but complementary. ATR comparison line (context, not the main engine) The indicator also computes an ATR-based volatility proxy and normalizes it in the same way: atrVol = ATR(n) / close * 100 atrOsc = zscore(atrVol, baselineLen) This gives you a direct visual comparison: If Parkinson oscillator is high but ATR oscillator isn’t, range expansion may be happening in a way ATR is not emphasizing (or vice versa). If both agree, you have stronger confirmation of a true volatility regime shift. ATR is included as a “common benchmark,” not as the primary signal. Regime classification (human-readable state mapping) The script labels regimes from osc: osc > 2.0 → EXTREME osc > 1.0 → HIGH osc > 0.0 → ABOVE AVG osc > -1.0 → BELOW AVG else → COMPRESSED This is a practical mapping for dashboards and quick reads. It is not pretending that 2.0 is a universal constant, it is just a standardized “rare expansion” threshold. Coloring follows the same logic: More positive = more “expansion” coloring (bearCol). More negative = more “compression” coloring (bullCol). Note: the color naming is semantic here: “Low Vol / Compression” is bullCol because compression often precedes trend expansion opportunities. “High Vol / Expansion” is bearCol because high vol often implies risk, disorder, liquidation, or unstable conditions. You can interpret those however you prefer, the tool is measuring volatility regime, not directional bias. Plot design (why the oscillator is split into positive/negative) The oscillator is split into two series: oscPos = osc if osc > 0 else na oscNeg = osc if osc < 0 else na This is purely for visuals: Positive region is drawn with expansion color and expansion gradient fill to zero. Negative region is drawn with compression color and compression gradient fill to zero. This makes it obvious at a glance which side of “normal volatility” you’re on. How to interpret the indicator correctly 1) The oscillator is volatility regime, not price direction High osc does not mean price will go down. It means the market is moving violently relative to its baseline. That can occur in: Selloffs, liquidations, panic. Breakouts and momentum expansions. News-driven repricing. Low osc does not mean price will go up. It means the market is quiet relative to baseline: Ranges, coils, low realized movement. Slow grind trends with suppressed pullbacks. Pre-breakout compressions. 2) Compression regimes are often “setup states” When osc is deeply negative (compressed), it often indicates that realized movement has collapsed. In many markets this precedes: Breakouts (vol expansion from compression). Trend acceleration. Mean reversion bursts. But compression can also persist. This is why the script includes signal crosses and percentile rank to judge when compression is shifting. 3) Expansion regimes are often “risk states” When osc is positive and rising, the environment is more chaotic: Stops are more likely to be hit. Mean reversion can get violent. Trend continuation can be strong but timing becomes harder. In those regimes, the tool can be used to: Reduce leverage. Widen stops (if your system supports it). Switch to volatility-aware sizing. Wait for stabilization if you trade mean reversion. 4) Use percentile rank to identify “rare” volatility Two markets can both show osc = +1, but one might be at the 95th percentile and the other at the 70th depending on distribution shape. Percentile tells you whether the current vol is truly rare in that lookback. Cross dots (how to treat them) ExpansionCross and CompressionCross are not buy/sell signals. They are “volatility phase change” markers: ExpansionCross: vol regime moving up, above baseline, acceleration risk increases. CompressionCross: vol regime moving down, below baseline, quieting environment. These are useful for: Strategy toggles (trend mode vs chop mode). Sizing changes. Timing filters (avoid entries during extreme expansion if your edge hates noise). Dashboard (what it gives you at a glance) The table summarizes everything that matters without you needing to interpret plots manually: Parkinson Vol %: current raw range-based volatility level. Z-Score: current standardized regime reading. Percentile: rarity of current vol in the lookback. Regime: discrete label based on z-score thresholds. ATR Z-Score: comparison metric in standardized units. The dashboard is positioned and sized via inputs so it can fit different chart layouts. Parameter tuning guidance Parkinson Length Controls how quickly the raw Parkinson vol responds: Shorter = more reactive to immediate range changes. Longer = smoother volatility estimate, less noisy. Baseline Length Controls what “normal” means: Long baseline (like 100) creates stable regime definitions. Short baseline makes z-scores jump around and can overreact. Signal Length Controls how quickly you detect regime turning points: Short signal = more crosses, earlier detection, more noise. Long signal = fewer crosses, later detection, cleaner regime shifts. Percentile Lookback Controls rarity context: 252 approximates one trading year on daily charts. On intraday, it becomes “252 bars,” so adjust to match your horizon. Limitations and what to watch for Parkinson assumes continuous diffusion. Jumps and gaps can distort it. Wicks caused by illiquidity can inflate ln(H/L) and produce false “expansion.” Z-score assumes the baseline distribution is reasonably stable. If volatility distribution shifts structurally, your z-scores can be biased until baseline catches up. Percentile rank is lookback-dependent. Different lookbacks can change “rarity” classification materially. Summary Parkinson Range Oscillator converts a statistically grounded high-low volatility estimator into a regime oscillator by z-scoring Parkinson volatility against its own rolling baseline. It highlights expansion vs compression states with clear gradients, flags volatility phase changes via oscillator-signal crosses, ranks current volatility by percentile for rarity context, and overlays an ATR-based z-score for comparison. This makes it a practical tool for volatility-aware trading, regime filtering, sizing adjustments, and identifying compression-to-expansion transitions.
Indikator Pine Script®
oleh BackQuant
Forex Cross-Asset Correlation Mapper Forex Cross-Asset Correlation Mapper — an indicator for tracking correlations between major currency pairs and the US Dollar Index (DXY). The indicator automatically detects the currency pair on the current chart and calculates a rolling Pearson correlation with DXY in real time. What it shows: Heatmap (matrix) — visualizes correlations between all enabled pairs. Green indicates positive correlation, red indicates negative. Cells with anomalies are highlighted with a yellow marker. Correlation plot — the dynamic correlation of the current pair with DXY over time. The yellow line represents the mean value, red dashed lines mark the normal range boundaries (±N standard deviations). When an anomaly is detected, the chart background is highlighted in yellow. Info panel — displays the current correlation value, mean, deviation in sigma units, and status (Normal / ANOMALY). An anomaly is triggered when the correlation moves beyond N standard deviations from its rolling mean. This signals a breakdown in the typical relationship between the pair and the dollar. Settings: correlation period, anomaly threshold, mean calculation period, enable/disable each pair individually. Supported pairs: EURUSD, GBPUSD, USDJPY, AUDUSD, USDCAD, USDCHF, NZDUSD + DXY (DX1!).
Indikator Pine Script®
oleh Smart-Day-Trader
Sigma Distance From Moving AverageThis is an indicator I've wanted to build for a while. The advent of AI and vibe coding circa 2026 made it feasible. This is an iteration of the previous indicator I shared - % distance from moving average - which, as explained in the self-described title, displays the % distance an asset's current price sits above or below whatever moving average you enter on whatever timeframe you choose. This new version expresses this distance as a z score rather than a %. The high level is we're going one level deeper - knowing how far an asset's current price is from its moving average is interesting, but what's more interesting is knowing how often this asset reaches this level above/below its moving average. Some assets are volatile, others less so. For something that moves a lot, being 15-20% above its 50 day moving average isn't all that rare. For something that doesn't move a lot, that might be a once in a ten thousand occurrence - we want to be able to quantify this. That's what this one does. Enjoy!
Indikator Pine Script®
oleh dkncrypto
1
Volatility Visualizer Percentiles (VIXFix, ATR, VIX)Summary A volatility regime dashboard for liquid instruments that converts three volatility lenses into 0 to 100 percentile ranks versus the last 252 closed daily bars. It is built to answer one question: is volatility unusually low or unusually high relative to the last year . Use it to adjust position sizing, stop width, and trade selectivity. It is not a directional signal. Scope and intent Markets : US indices and index ETFs, index futures, large cap equities, liquid crypto proxies, and other symbols where daily volatility regimes matter Timeframes : best on Daily. It can be applied on other chart timeframes, but the reference window remains 252 closed daily bars Default demo : SPX on Daily Purpose : provide a simple, testable volatility context layer that you can plug into any daily system as a risk filter or risk scaler What makes it original and useful Most “volatility tools” show raw ATR or a single volatility index. This script standardizes three distinct sources into the same unit (percentile), so you can compare them and combine them without guessing thresholds. Unique fusion : internal realized volatility (ATR%), internal stress proxy (VIXFix), and external implied volatility (input VIX symbol) expressed in the same 0 to 100 scale Practical outcome : the table gives a regime read and an action posture, so the output is directly usable for risk decisions Testable : all components are visible and thresholdable; you can backtest rules like “only trade when composite is between 30 and 75” Portable : percentiles remove the need to hardcode market specific “ATR is high” numbers across different symbols Method overview in plain language Base measures VIXFix : a price based fear proxy derived from the instrument’s own daily behavior (using the relationship between recent high closes and current lows) ATR% : daily ATR normalized by daily close, expressed as a percentage for cross symbol comparability External VIX : a user selected volatility index or proxy pulled via input symbol (default CBOE:VIX) Normalization to percentiles For each metric, the script stores the last 252 closed daily values It then computes where the most recent closed daily value sits inside that history as a percentile from 0 to 100 Tie handling is configurable (Midrank, StrictLess, LessOrEqual) to define how repeated values are ranked Fusion rule Composite percentile is the simple average of the available percentiles (VIXFix, ATR%, VIX) If one component is missing (for example the external symbol is unavailable), the composite averages the remaining components How to use it on Daily This tool is most effective as a risk regime layer on top of an existing strategy. Use the Composite row as the primary dial, and the individual components as confirmation. Recommended operating zones 0–20 Very Low : quiet regime. Tight stops often survive, but breakouts can underperform. Favor mean reversion or require stronger breakout confirmation. 20–40 Low : constructive for many systems. Use baseline sizing and baseline stops. 40–60 Mid : neutral. Run your base playbook. 60–80 High : volatility expansion. Reduce size and widen stops, or trade only higher quality setups. 80–100 Very High : stress regime. Smallest size, widest stops, and skip marginal setups. Gap risk and slippage risk are higher. How to interpret disagreements If ATR% is high but VIX is mid , realized vol is elevated but the market is not pricing extreme fear. Treat as a caution zone, not panic. If VIX is high but ATR% is mid , implied vol is elevated ahead of potential events. Expect expansion risk even if realized vol has not moved yet. If all three are high , treat it as a full stress regime and enforce strict risk limits. What you will see on the chart A compact table with one row per metric and optional composite For each row: last closed daily value, 252D percentile, a progress bar, and an action posture Optional stats: min, median, max for the 252D window (useful for sanity checks, adds CPU) Table fields quick guide Last closed daily : the value used for ranking, taken from the last fully closed daily bar 252D percentile : where the current reading ranks versus the last 252 closed daily readings Bar : quick visual map of percentile from 0 to 100 Action : risk posture suggestion tied to the percentile bucket Inputs with guidance Core Window (closed daily bars) : default 252. Higher values make the regime slower and more structural. Lower values make it more reactive. VIX VIX symbol : default CBOE:VIX. You can replace it with another implied volatility proxy appropriate for your market. VIXFix VIXFix lookback : typical range 21/22. Smaller reacts faster, larger smooths regimes. ATR ATR length : typical range 10–21 on Daily ATR as % of close : recommended on for comparability across symbols and long history UI Show composite volatility score : recommended on. Best single dial. Show action guide : recommended on if you want direct posture cues. Show min, median, max : optional. Useful for diagnostics, higher CPU. Table position : place it where it does not cover price. Usage recipes Daily trend following overlay Trade your trend system normally when Composite is between 25 and 75 If Composite is above 75, reduce size and widen stops, and require stronger trend confirmation Daily mean reversion overlay Focus on Composite below 40 Avoid Composite above 80 where gaps and cascading moves reduce mean reversion reliability Daily risk parity style scaling Use Composite percentile as a coarse risk throttle: higher percentile equals lower exposure Example posture: 0–40 normal exposure, 40–80 reduced exposure, above 80 minimal exposure Alerts This script is intentionally a dashboard and does not emit buy or sell signals. If you want alerts, create them from percentile thresholds in your own fork. For conservative workflows, trigger alerts on bar close. // Example alert conditions (add to your fork if desired) high_vol = comp_pct > 80 low_vol = comp_pct < 20 Honest limitations and failure modes This is not a directional predictor. Volatility can rise in both bull and bear markets. Percentiles are relative to the last 252 closed daily bars. A “high percentile” is high versus recent history, not an absolute guarantee of future movement. Implied volatility (VIX) can move ahead of realized volatility (ATR%). Treat divergence as information, not a signal. Very high volatility regimes can include gap risk and slippage risk that are not visible in indicator values alone. Legal Education and research only. Not investment advice. You are responsible for your decisions. Test on historical data and in simulation before any live use.
Indikator Pine Script®
oleh exlux
Market Internals SPY[TP]# Market Internals SPY Dashboard - TradingView Publication ## 📊 Overview **Market Internals SPY ** is a comprehensive multi-factor market sentiment dashboard designed specifically for SPY (S&P 500 ETF) traders. This indicator combines four powerful market breadth signals into one easy-to-read interface, helping traders identify high-probability setups and avoid false breakouts. --- ## 🎯 What Makes This Indicator Unique? Unlike single-indicator tools, this dashboard synthesizes **multiple market internals** to provide confluence-based trading signals: - **CPR (Central Pivot Range)** - Institutional pivot levels - **VIX (Volatility Index)** - Fear gauge - **Put/Call Ratio** - Options sentiment with dynamic crossover alerts - ** USI:ADD (Advance/Decline Line)** - Market breadth strength All presented in a clean, real-time dashboard with visual alerts directly on your chart. --- ## 📈 Key Features ### 1. **Static Daily CPR Levels** - Automatically plots Top CPR, Pivot, and Bottom CPR - Levels remain fixed throughout the trading day (no repainting) - **Trend Bias Indicator**: Green = Current Pivot > Previous Pivot (Bullish structure) ### 2. **Put/Call Ratio Crossover System** - 10-period SMA smoothing for cleaner signals - **Bullish Signal** (Green background): Put/Call crosses below SMA - Indicates decreasing hedging activity (bullish) - **Bearish Signal** (Red background): Put/Call crosses above SMA - Indicates increasing hedging activity (bearish) ### 3. **Price/Breadth Divergence Detection** - **Yellow Candles**: Highlight when price and USI:ADD diverge - Price rising but USI:ADD falling = Potential reversal - Price falling but USI:ADD rising = Possible bottom ### 4. **Comprehensive Real-Time Dashboard** A top-right table displaying: - **CPR Trend Bias**: Bullish/Bearish structure - **VIX Level**: Current value + directional bias - **Put/Call Ratio**: Live value + trend arrows - **AD Line**: Breadth strength with directional indicators ### 5. **Intelligent Bar Coloring** - **Green bars**: USI:ADD rising (breadth improving) - **Red bars**: USI:ADD falling (breadth deteriorating) - **Yellow bars**: Divergence warning (potential reversal) --- ## 🔧 How to Use ### Setup Instructions 1. **Add to Chart**: Apply to SPY on your preferred intraday timeframe (5m, 15m, 30m, 1H) 2. **Configure Symbols** (if needed): - Default settings work for most platforms - If "PCC" doesn't load, try: `PCCR`, `INDEX:PCC`, `USI:PCC`, or `CBOE:PCC` - Ensure you have market internals data access ( USI:ADD , VIX) ### Trading Signals #### 🟢 **Bullish Confluence** (High-Probability Long Setup) - CPR Trend = BULLISH - VIX falling or low (<20) - Put/Call below SMA (or green background crossover) - USI:ADD rising (green bars) - **Entry**: Look for bullish price action at support levels #### 🔴 **Bearish Confluence** (High-Probability Short Setup) - CPR Trend = BEARISH - VIX rising or elevated (>25) - Put/Call above SMA (or red background crossover) - USI:ADD falling (red bars) - **Entry**: Look for bearish rejection at resistance #### ⚠️ **Divergence Warning** - Yellow candles indicate mismatch between price and breadth - Consider profit-taking or reversals when divergence appears at extremes ### Best Practices - **Multi-Timeframe Confirmation**: Check higher timeframes (4H, Daily) for trend alignment - **Volume Confirmation**: Combine with volume analysis for stronger signals - **Risk Management**: Always use stop losses; no indicator is 100% accurate - **News Awareness**: Be cautious around major economic releases --- ## 📚 Understanding the Components ### CPR (Central Pivot Range) Traditional floor trader pivot levels calculated from previous day's High, Low, Close: - **Pivot (PP)** = (High + Low + Close) / 3 - **Top CPR (TC)** = (PP - BC) + PP - **Bottom CPR (BC)** = (High + Low) / 2 ### VIX (Volatility Index) - **< 15**: Complacency, potential for sudden moves - **15-20**: Normal conditions - **20-30**: Elevated uncertainty - **> 30**: High fear, potential bottoming process ### Put/Call Ratio - **< 0.7**: Excessive optimism (contrarian bearish) - **0.7-1.0**: Balanced sentiment - **> 1.0**: Defensive positioning (contrarian bullish potential) ### USI:ADD (NYSE Advance/Decline) - **> 0**: More stocks advancing than declining (bullish breadth) - **< 0**: More stocks declining than advancing (bearish breadth) - **Extreme readings** (±2000+): Potential exhaustion --- ## ⚙️ Customization Options ### Input Parameters - **AD Line Symbol**: Default "ADD" (try "ADVN" or "NYSE:ADD" if needed) - **VIX Symbol**: Default "VIX" (try "CBOE:VIX" if needed) - **Put/Call Symbol**: Default "PCC" (alternatives listed above) ### Color Scheme - Blue: CPR levels - Purple: Pivot point - Green: Bullish signals/backgrounds - Red: Bearish signals/backgrounds - Yellow: Divergence warnings --- ## 💡 Pro Tips 1. **Wait for Confluence**: Don't trade on a single indicator - wait for 3+ signals to align 2. **Use CPR as Dynamic S/R**: Price tends to react at TC and BC levels 3. **Watch the Crossovers**: Put/Call crossovers often precede significant moves 4. **Monitor Divergences**: Yellow candles at key levels are high-value signals 5. **Combine with Price Action**: This tool confirms direction - you still need entry triggers --- ## ⚠️ Limitations & Disclaimers - Requires **premium data** for USI:ADD and VIX on most platforms - Best suited for **intraday SPY trading** (may adapt to other indices) - **Not a standalone system** - use with proper risk management - Past performance does not guarantee future results - Always backtest before live trading --- ## 🎓 Example Scenario **Bullish Setup**: - 9:45 AM EST: Price pulls back to Bottom CPR - Dashboard shows: ✅ Bullish CPR Bias, ✅ VIX 16.5 (falling), ✅ Put/Call 0.68 ⬇️ Bull, ✅ USI:ADD +850 ⬆️ - Green background flashes (Put/Call crossunder) - **Action**: Enter long at BC with stop below TC of previous day --- ## 📊 Ideal Timeframes - **Primary**: 5-minute, 15-minute (day trading) - **Secondary**: 30-minute, 1-hour (swing entries) - **Confirmation**: Daily chart for trend context --- ## 🔄 Updates & Support This indicator is actively maintained. If you encounter symbol loading issues: 1. Check your data provider includes market internals 2. Try alternative symbols in inputs 3. Ensure you're using a premium TradingView plan (if required) --- ## 📝 Version Information - **Version**: 5 (Pine Script v5) - **Type**: Overlay Indicator - **Author**: tapaspattanaik - **Category**: Market Internals / Breadth Analysis --- ## 🏆 Final Thoughts This indicator is designed for **serious traders** who understand that edge comes from confluence, not single signals. By combining institutional pivot levels with real-time market internals, you gain a significant advantage in reading market sentiment and timing entries with precision. **Remember**: The best trades happen when multiple independent factors align. Use this dashboard to find those moments. --- ## 📌 How to Add This Indicator 1. Open TradingView and navigate to Pine Editor 2. Copy the complete script code 3. Click "Add to Chart" 4. Configure symbols if needed (see Setup Instructions above) 5. Adjust position/colors to your preference --- **Happy Trading! 📈** *This indicator is for educational purposes. Always manage risk appropriately and never risk more than you can afford to lose.* --- ### Tags `#SPY` `#MarketInternals` `#CPR` `#VIX` `#PutCallRatio` `#BreadthAnalysis` `#DayTrading` `#SwingTrading` `#TechnicalAnalysis` `#PivotPoints`
Indikator Pine Script®
oleh Tapaspattanaik