Expected Volatility (Log-Transfo…: Free TradingView Indicator (Pine Script)

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Source Code

223 lines of Pine Script v5 from Expected Volatility .txt, published under MPL-2.0 (file header). Keep the author's credit and licence lines when you reuse it.

Expected Volatility .txt

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © notprofessorgreen

//@version=5
indicator("Expected Volatility (Log-Transformed)", overlay = true, max_bars_back = 5000)

// === Input Definitions ===

// --- Session Settings ---
var g_SESSION = "Session Settings"
sess_Time = input("1800-1600", "Session Time")
sess_TimeZone = input("GMT-5", "TimeZone")
vol_symbol = input.symbol("NASDAQ:VOLI", "Volatility Index Symbol")

// --- Shading Settings (Borderless Boxes) ---
var g_SHADING = "Shading Settings"
show_shading = input.bool(true, title="Show Shaded Zones", group=g_SHADING, tooltip="Toggle shaded (borderless) zones")
shading_transparency = input.int(80, title="Shading Transparency", minval=0, maxval=100, group=g_SHADING, tooltip="Transparency for shaded zones (higher = more transparent)")
upper_shade_color = input.color(color.new(color.purple, 0), title="Upper Zone Color", group=g_SHADING, tooltip="Base color for upper (bullish) zones")
lower_shade_color = input.color(color.new(color.teal, 0), title="Lower Zone Color", group=g_SHADING, tooltip="Base color for lower (bearish) zones")
show_zone_labels = input.bool(true, title="Show Zone Labels", group=g_SHADING, tooltip="Toggle labels on zones (e.g., '1.0 SD')")

// --- Zone Level Settings ---
var g_ZONES = "Zone Level Settings"
show_025sd = input.bool(true, title="Show 0.25 SD Zones", group=g_ZONES)
show_05sd = input.bool(true, title="Show 0.5 SD Zones", group=g_ZONES)
show_1sd = input.bool(true, title="Show 1.0 SD Zones", group=g_ZONES)
show_15sd = input.bool(true, title="Show 1.5 SD Zones", group=g_ZONES)

close_day = close[1]

// Request the previous day's settlement on the chart's symbol (market index)
Index = request.security(
     syminfo.tickerid,
     "1D",
     close_day,
     gaps = barmerge.gaps_off,
     lookahead = barmerge.lookahead_on
     )

plotIndex = plot(Index,"Index",color = color.new(color.white,100))

// Request the previous day's settlement on the user-selected volatility index
VolIndex = request.security(
     vol_symbol,
     "1D",
     close_day,
     gaps = barmerge.gaps_off,
     lookahead = barmerge.lookahead_on
     )

plotVolIndex = plot(VolIndex,"VolIndex",color = color.new(color.white,100))

IsSessionStart(sessionTime, sessionTimeZone=syminfo.timezone) =>
    inSess = not na(time(timeframe.period, sessionTime, sessionTimeZone))
    inSess and not inSess[1]

GetVolatility(VolatilityIndex) =>
    a = VolatilityIndex/16/100
    b = VolatilityIndex/math.sqrt(365)/100
    [a,b]

get_label_size(size_string) =>
    size_string == "Tiny" ? size.tiny : size_string == "Small" ? size.small : size_string == "Normal" ? size.normal : size.large

// Modified Zones function with log transformation
Zones(a, b, Index) =>
    // Convert Index to log space
    logIndex = math.log(Index)
    
    // In log space, use a and b as volatility measures
    // a is used for resistance (upper moves), b for support calculations
    logStdA = a  // Intraday volatility measure
    logStdB = b  // Daily volatility measure
    
    // Upper zones (resistance) - using 'a' parameter
    Index_ZONE1UP_Res = math.exp(logIndex + logStdA * 1.0)
    Index_ZONE1DN_Res = math.exp(logIndex + logStdB * 1.0)
    
    Index_ZONE150UP_Res = math.exp(logIndex + logStdA * 1.5)
    Index_ZONE150DN_Res = math.exp(logIndex + logStdB * 1.5)
    
    Index_ZONE50UP_Res = math.exp(logIndex + logStdA * 0.5)
    Index_ZONE50DN_Res = math.exp(logIndex + logStdB * 0.5)
    
    Index_ZONE25UP_Res = math.exp(logIndex + logStdA * 0.25)
    Index_ZONE25DN_Res = math.exp(logIndex + logStdB * 0.25)
    
    // Lower zones (support) - mirroring the upper zones
    Index_ZONE1UP_Sup = math.exp(logIndex - logStdB * 1.0)
    Index_ZONE1DN_Sup = math.exp(logIndex - logStdA * 1.0)
    
    Index_ZONE150UP_Sup = math.exp(logIndex - logStdB * 1.5)
    Index_ZONE150DN_Sup = math.exp(logIndex - logStdA * 1.5)
    
    Index_ZONE50UP_Sup = math.exp(logIndex - logStdB * 0.5)
    Index_ZONE50DN_Sup = math.exp(logIndex - logStdA * 0.5)
    
    Index_ZONE25UP_Sup = math.exp(logIndex - logStdB * 0.25)
    Index_ZONE25DN_Sup = math.exp(logIndex - logStdA * 0.25)

    if IsSessionStart(sess_Time, sess_TimeZone) and show_shading
        close_time = time_close + 86400000
        
        upper_bg = color.new(upper_shade_color, shading_transparency)
        lower_bg = color.new(lower_shade_color, shading_transparency)
        
        // 1.5 SD Upper
        if show_15sd
            Index_BOX_2TOP = box.new(
                 left = time_close,
                 top = Index_ZONE150UP_Res,
                 right = close_time,
                 bottom = Index_ZONE150DN_Res,
                 xloc = xloc.bar_time,
                 bgcolor = upper_bg,
                 border_color = na,
                 border_width = 0)
            if show_zone_labels
                label.new(close_time, (Index_ZONE150UP_Res + Index_ZONE150DN_Res)/2, "1.5 SD ↑", xloc = xloc.bar_time, style=label.style_label_left, color=color.new(upper_shade_color, 100), textcolor=upper_shade_color, size=get_label_size("Small"))
        
        // 1.5 SD Lower
        if show_15sd
            Index_BOX_2BTM = box.new(
                 left = time_close,
                 top = Index_ZONE150DN_Sup,
                 right = close_time,
                 bottom = Index_ZONE150UP_Sup,
                 xloc = xloc.bar_time,
                 bgcolor = lower_bg,
                 border_color = na,
                 border_width = 0)
            if show_zone_labels
                label.new(close_time, (Index_ZONE150DN_Sup + Index_ZONE150UP_Sup)/2, "1.5 SD ↓", xloc = xloc.bar_time, style=label.style_label_left, color=color.new(lower_shade_color, 100), textcolor=lower_shade_color, size=get_label_size("Small"))
        
        // 1.0 SD Upper
        if show_1sd
            Index_BOX_1TOP = box.new(
                 left = time_close,
                 top = Index_ZONE1UP_Res,
                 right = close_time,
                 bottom = Index_ZONE1DN_Res,
                 xloc = xloc.bar_time,
                 bgcolor = upper_bg,
                 border_color = na,
                 border_width = 0)
            if show_zone_labels
                label.new(close_time, (Index_ZONE1UP_Res + Index_ZONE1DN_Res)/2, "1.0 SD ↑", xloc = xloc.bar_time, style=label.style_label_left, color=color.new(upper_shade_color, 100), textcolor=upper_shade_color, size=get_label_size("Small"))
        
        // 1.0 SD Lower
        if show_1sd
            Index_BOX_1BTM = box.new(
                 left = time_close,
                 top = Index_ZONE1DN_Sup,
                 right = close_time,
                 bottom = Index_ZONE1UP_Sup,
                 xloc = xloc.bar_time,
                 bgcolor = lower_bg,
                 border_color = na,
                 border_width = 0)
            if show_zone_labels
                label.new(close_time, (Index_ZONE1DN_Sup + Index_ZONE1UP_Sup)/2, "1.0 SD ↓", xloc = xloc.bar_time, style=label.style_label_left, color=color.new(lower_shade_color, 100), textcolor=lower_shade_color, size=get_label_size("Small"))
        
        // 0.5 SD Upper
        if show_05sd
            Index_BOX_3TOP = box.new(
                 left = time_close,
                 top = Index_ZONE50UP_Res,
                 right = close_time,
                 bottom = Index_ZONE50DN_Res,
                 xloc = xloc.bar_time,
                 bgcolor = upper_bg,
                 border_color = na,
                 border_width = 0)
            if show_zone_labels
                label.new(close_time, (Index_ZONE50UP_Res + Index_ZONE50DN_Res)/2, "0.5 SD ↑", xloc = xloc.bar_time, style=label.style_label_left, color=color.new(upper_shade_color, 100), textcolor=upper_shade_color, size=get_label_size("Small"))
        
        // 0.5 SD Lower
        if show_05sd
            Index_BOX_3BTM = box.new(
                 left = time_close,
                 top = Index_ZONE50DN_Sup,
                 right = close_time,
                 bottom = Index_ZONE50UP_Sup,
                 xloc = xloc.bar_time,
                 bgcolor = lower_bg,
                 border_color = na,
                 border_width = 0)
            if show_zone_labels
                label.new(close_time, (Index_ZONE50DN_Sup + Index_ZONE50UP_Sup)/2, "0.5 SD ↓", xloc = xloc.bar_time, style=label.style_label_left, color=color.new(lower_shade_color, 100), textcolor=lower_shade_color, size=get_label_size("Small"))
        
        // 0.25 SD Upper
        if show_025sd
            Index_BOX_4TOP = box.new(
                 left = time_close,
                 top = Index_ZONE25UP_Res,
                 right = close_time,
                 bottom = Index_ZONE25DN_Res,
                 xloc = xloc.bar_time,
                 bgcolor = upper_bg,
                 border_color = na,
                 border_width = 0)
            if show_zone_labels
                label.new(close_time, (Index_ZONE25UP_Res + Index_ZONE25DN_Res)/2, "0.25 SD ↑", xloc = xloc.bar_time, style=label.style_label_left, color=color.new(upper_shade_color, 100), textcolor=upper_shade_color, size=get_label_size("Small"))
        
        // 0.25 SD Lower
        if show_025sd
            Index_BOX_4BTM = box.new(
                 left = time_close,
                 top = Index_ZONE25DN_Sup,
                 right = close_time,
                 bottom = Index_ZONE25UP_Sup,
                 xloc = xloc.bar_time,
                 bgcolor = lower_bg,
                 border_color = na,
                 border_width = 0)
            if show_zone_labels
                label.new(close_time, (Index_ZONE25DN_Sup + Index_ZONE25UP_Sup)/2, "0.25 SD ↓", xloc = xloc.bar_time, style=label.style_label_left, color=color.new(lower_shade_color, 100), textcolor=lower_shade_color, size=get_label_size("Small"))
    
    [a,b,Index]

[a,b] = GetVolatility(VolIndex)
Zones(a,b, Index)

Overview

Expected Volatility (Log-Transformed) requests the previous daily close of the chart symbol and a user-selected volatility index, then converts the index into log space. Two volatility measures build upper and lower bands at 0.25, 0.5, 1.0, and 1.5 standard deviations. Session time and timezone inputs control when the session starts. Users can toggle zone levels, labels, and shaded colors. It uses higher-timeframe data with lookahead enabled, so plotted levels can reference future daily values.

Log-transformed standard deviation zones
Toggleable 0.25 to 1.5 SD levels
Session time and timezone inputs
User-selected volatility index symbol
Shaded upper and lower zones with labels

Details

Published by

TamaraKGreen on GitHub

Code credit

notprofessorgreen, as written in the script's header

Type

Indicator, Pine Script v5

Draws

On the price chart

Markets

Any symbol

Timeframes

Any timeframe

Risk Notes

Signals can change on the live bar or after it closes (repainting)
Reads higher-timeframe data with lookahead on, so the history can show signals that were not there in real time

File

Expected Volatility .txt

Repository

github.com/TamaraKGreen/Pinescript-indicators-. See its other scripts in the library

Settings

The inputs you can change from the gear icon on the chart. Defaults are the author's.

Setting	Type	Default	Variable
Session Time	`string`	`1800-1600`	`sess_Time`
TimeZone	`string`	`GMT-5`	`sess_TimeZone`
Volatility Index Symbol	`symbol`	`NASDAQ:VOLI`	`vol_symbol`
Show Shaded Zones	`bool`	`true`	`show_shading`
Shading Transparency	`int`	`80`	`shading_transparency`
Upper Zone Color	`color`	`color.new(color.purple, 0)`	`upper_shade_color`
Lower Zone Color	`color`	`color.new(color.teal, 0)`	`lower_shade_color`
Show Zone Labels	`bool`	`true`	`show_zone_labels`
Show 0.25 SD Zones	`bool`	`true`	`show_025sd`
Show 0.5 SD Zones	`bool`	`true`	`show_05sd`
Show 1.0 SD Zones	`bool`	`true`	`show_1sd`
Show 1.5 SD Zones	`bool`	`true`	`show_15sd`

Third-party code. ForexR did not write, test or endorse this script, and the summary above was generated automatically from its code and README. Indicators describe the past, and a strategy's backtest can look better than live trading, especially when a script repaints. Check it in the Strategy Tester and on a demo account before you rely on it.

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Expected Volatility (Log-Transformed)