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 v5 · Own pane
Volatility Clustering Estimator
The Volatility Clustering Estimator measures autocorrelation in logarithmic price returns across daily, weekly, and monthly timeframes.
Repaints
GitHub stars3on the repository
Pine versionv5runs as is
Lines of code32
Settings3inputs
LicenceGPL-3.0
Last update2 years ago22 May 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
32 lines of Pine Script v5 from Volatility Clustering Estimator.pine, published under GPL-3.0. Keep the author's credit and licence lines when you reuse it.
// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0.
// © jawauntb
//@version=5
indicator("Volatility Clustering Estimator", overlay=false)
// Input parameters
dailyClusteringLength = input.int(20, minval=1, title="Daily Clustering Length")
weeklyClusteringLength = input.int(4, minval=1, title="Weekly Clustering Length") // Approximate to a month
monthlyClusteringLength = input.int(3, minval=1, title="Monthly Clustering Length") // Approximate to a quarter
// Calculate daily close prices and returns
dailyClose = request.security(syminfo.tickerid, "D", close, lookahead=barmerge.lookahead_on)
dailyReturn = math.log(dailyClose / dailyClose[1])
// Calculate weekly close prices and returns
weeklyClose = request.security(syminfo.tickerid, "W", close, lookahead=barmerge.lookahead_on)
weeklyReturn = math.log(weeklyClose / weeklyClose[1])
// Calculate monthly close prices and returns
monthlyClose = request.security(syminfo.tickerid, "M", close, lookahead=barmerge.lookahead_on)
monthlyReturn = math.log(monthlyClose / monthlyClose[1])
// Calculate volatility clustering
dailyVolatilityClustering = ta.correlation(dailyReturn, dailyReturn[1], dailyClusteringLength) * 100
weeklyVolatilityClustering = ta.correlation(weeklyReturn, weeklyReturn[1], weeklyClusteringLength) * 100
monthlyVolatilityClustering = ta.correlation(monthlyReturn, monthlyReturn[1], monthlyClusteringLength) * 100
// Plot volatility clustering
plot(dailyVolatilityClustering, color=color.fuchsia, title="Daily Volatility Clustering")
plot(weeklyVolatilityClustering, color=color.lime, title="Weekly Volatility Clustering")
plot(monthlyVolatilityClustering, color=color.aqua, title="Monthly Volatility Clustering")
Overview
Volatility Clustering Estimator calculates logarithmic returns for higher-timeframe close prices and evaluates their correlation with lagged returns using specified lookback lengths. The resulting correlation percentages are plotted as three distinct lines in a separate pane to help identify periods of persistent market volatility. Users can adjust the clustering length for each timeframe. Because it requests higher-timeframe data with lookahead enabled, historical values repaint.
- Multi-timeframe return autocorrelation analysis
- Configurable daily, weekly, and monthly clustering lengths
- Separate pane plots for daily, weekly, and monthly volatility
Details
Published by
jawauntb on GitHub
Type
Indicator, Pine Script v5
Draws
Separate pane below the chart
Category
Volatility & bands
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
Settings
The inputs you can change from the gear icon on the chart. Defaults are the author's.
| Setting | Type | Default | Variable |
|---|---|---|---|
| Daily Clustering Length | int | 20 | dailyClusteringLength |
| Weekly Clustering Length | int | 4 | weeklyClusteringLength |
| Monthly Clustering Length | int | 3 | monthlyClusteringLength |
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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