This indicator calculates the distribution of close-to-close percentage changes using rate of change on closing prices. It bins percentage changes into intervals of 0.25 percent increments from negative to positive values and plots a normalized cumulative hist
Indicator · Pine Script v4 · Own pane
Tykhe Stock Volatility
A Pine v4 indicator in a separate pane that compares the chart symbol's volatility with that of the S&P 500 index.
GitHub stars1on the repository
Pine versionv4older, still runs
Lines of code53
Settings2inputs
LicenceNone statedfile: MPL-2.0
Last update3 years ago19 Mar 2023
Add It to Your TradingView Chart
- 1Copy the scriptPress Copy script above, or the copy button on the code below.
- 2Open the Pine EditorOpen a TradingView chart and choose Pine Editor at the bottom of the screen.
- 3Paste over the templateCreate a new indicator, select all of the template text and paste. Press Save and give it a name.
- 4Add it to the chartPress Add to chart, then adjust the settings with the gear icon next to its name.
Source Code
53 lines of Pine Script v4 from TradingView_old/Tykhe Stock Volatility.pine, published under MPL-2.0 (file header). Keep the author's credit and licence lines when you reuse it.
//@version=4
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Tykhe_Ideas
study("Tykhe Stock Volatility", shorttitle="stock vol")
spx_high = security("SPX", timeframe.period, high)
spx_low = security("SPX", timeframe.period, low)
spxx_close = security("SPX", timeframe.period, close)
bull_color = #058ac5
indecision_color = #dde4c5
bear_color = #ff583e
val = input(20)
h = input(high)
stock_vol_short_period = (highest(high, val) - low) / highest(high, val) * 100
stock_vol_long_period = (highest(high, val * 10) - low) / highest(high, val * 10) * 100
vix_short_period = (highest(spx_high, val) - spx_low) / highest(spx_high, val) * 100
vix_long_period = (highest(spx_high, val * 10) - spx_low) / highest(spx_high, val * 10) * 100
//plot(short_vix, color=color.red)
stock_VIX = linreg(stock_vol_short_period + stock_vol_long_period, 5, 0)
market_VIX = linreg(vix_short_period + vix_long_period, 5, 0)
tvix_color = stock_VIX > 0 ? bull_color : bear_color
//plot(tVIX, style=plot.style_histogram, color=tvix_color)
bank_vol = stock_VIX - market_VIX
//plot(sma(tVIX, 200))
s = wma(bank_vol, 120)
a = ( stock_VIX * 100 / s )
plot( - s)
plot( - wma(bank_vol, 10), color=color.red)
//hline(0)
Overview
For both, it measures the distance of the current low from the highest high over a short window and a window ten times longer, expressed as percentages. Inputs set the window length and the high source. It requests index data from another symbol and needs it available.
- Symbol drawdown-from-high measure
- S&P 500 comparison series
- Short and long lookback windows
- Adjustable window length
Details
Published by
nvFede on GitHub
Code credit
Tykhe_Ideas, as written in the script's header
Type
Indicator, Pine Script v4
Draws
Separate pane below the chart
Category
Volatility & bands
Markets
Stocks
Timeframes
Any timeframe
Risk Notes
No repainting, lookahead or stacked entries were found in its code or README. That says nothing about how well it works: test it first.
Settings
The inputs you can change from the gear icon on the chart. Defaults are the author's.
| Setting | Type | Default | Variable |
|---|---|---|---|
| val | int | 20 | val |
| h | source | high | h |
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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