This indicator plots a TTM Squeeze momentum oscillator in a separate pane. It compares a Bollinger Band offset to a Keltner Channel offset and marks the zero line white when the difference is non-negative and black when the bands are inside the channel. A line
Indicator · Pine Script v4 · Own pane
Volatility Arbitrage
Volatility Arbitrage calculates the Rate of Change (ROC) for a selected price dataset and plots it along with upper and lower standard deviation bounds in a separate pane.
GitHub stars114on the repository
Pine versionv4older, still runs
Lines of code43
Settings4inputs
LicenceNone statedfile: MPL-2.0
Last update1 year ago7 Nov 2024
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
43 lines of Pine Script v4 from scripts/107-Volatility-Arbitrage.pine, published under MPL-2.0 (file header). Keep the author's credit and licence lines when you reuse it.
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © capissimo
//@version=4
study("Volatility Arbitrage", '', false)
// Volatility Arbitrage
// Description:
// This indicator uses rate of change (ROC) indicator together with its standard deviations.
// ROC values are cycling around zero, i.e. around the mean.
// Two standard deviations of the ROC draw the upper and the lower bounds that serve as a threshold
// that captures outliers. These outliers can be regarded as a signal.
//-------------------- Inputs
ds = input(close, 'Dataset')
roclag = input(5, 'ROC Lag |1..n|', minval=1)
devlag = input(20, 'Deviation Lag |1..n|', minval=1)
mult = input(2.0, 'Deviation Multiplier |0.1..5.0|', minval=0.1, maxval=5, step=0.1)
//-------------------- Dynamic Arrays
var float roc = 0.0
var float upper = 0.0
var float lower = 0.0
//-------------------- Logic
ma = sma(ds, 1)
roc := 100.0 * (ma / nz(ma[roclag]) - 1.0)
dev = stdev(roc, devlag)
upper := dev * mult
lower := -1.0 * upper
//-------------------- Rendering
hline(0)
plot(upper, '', color.red)
plot(lower, '', color.blue)
plot(roc, '', color.black)
Overview
The indicator measures momentum fluctuations relative to zero and identifies statistical outliers when ROC crosses outside the standard deviation bounds, signaling potential volatility extremes. Users can customize the ROC lag, standard deviation lookback period, deviation multiplier, and source price dataset.
- Rate of Change momentum calculation
- Dynamic standard deviation volatility bands
- Customizable ROC lag and deviation multiplier
- Outlier detection relative to historical mean
Details
Published by
capissimo on GitHub
Type
Indicator, Pine Script v4
Draws
Separate pane below the chart
Category
Volatility & bands, Oscillators & momentum
Markets
Any symbol
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 |
|---|---|---|---|
| Dataset | source | close | ds |
| ROC Lag |1..n| | int | 5 | roclag |
| Deviation Lag |1..n| | int | 20 | devlag |
| Deviation Multiplier |0.1..5.0| | float | 2.0 | mult |
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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