Volatility Oscillator with Quick Estimate and Forecast

// 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 Oscillator with Quick Estimate and Forecast", overlay=false)

// Input parameters
shortTermLength = input.int(13, minval=1, title="Short Term Length")
mediumTermLength = input.int(20, minval=1, title="Medium Term Length")
longTermLength = input.int(100, minval=1, title="Long Term Length")
forecastLength = input.int(13, minval=1, title="Forecast Length") // Set forecast length to 13 days
annualizationFactor = input.int(252, title="Annualization Factor") // Use 252 for trading days in a year

// Fetch the most recent daily close prices
dailyClose = request.security(syminfo.tickerid, "D", close)

// Use the previous day's close in the morning until the current day's close is available
intradayClose = close
previousDailyClose = request.security(syminfo.tickerid, "D", close[1])

// Calculate returns using the most recent completed daily close prices and intraday close prices
dailyReturn = math.log(dailyClose / previousDailyClose)
intradayReturn = math.log(intradayClose / previousDailyClose)

// Calculate annualized volatilities
shortTermVol = ta.stdev(intradayReturn, shortTermLength) * math.sqrt(annualizationFactor) * 100
mediumTermVol = ta.stdev(intradayReturn, mediumTermLength) * math.sqrt(annualizationFactor) * 100
longTermVol = ta.stdev(intradayReturn, longTermLength) * math.sqrt(annualizationFactor) * 100

// Calculate quick and dirty estimate (daily return * 20)
quickEstimateVol = ta.stdev(intradayReturn, shortTermLength) * 20 * 100

// Calculate forecast volatility (proxy for next 13 days based on last 13 days)
forecastVol = ta.stdev(intradayReturn, forecastLength) * math.sqrt(annualizationFactor) * 100

// Plot the volatilities
plot(shortTermVol, color=color.blue, title="Short-Term Volatility")
plot(mediumTermVol, color=color.orange, title="Medium-Term Volatility")
plot(longTermVol, color=color.red, title="Long-Term Volatility")
plot(quickEstimateVol, color=color.purple, title="Quick Estimate Volatility")
plot(forecastVol, color=color.teal, title="Forecast Volatility (Next 13 days)")

// Optional: Plot as an oscillator
hline(0, "Zero Line", color=color.gray)
plot(shortTermVol - mediumTermVol, color=color.green, title="Short vs Medium Term Spread")
plot(shortTermVol - longTermVol, color=color.purple, title="Short vs Long Term Spread")
plot(mediumTermVol - longTermVol, color=color.yellow, title="Medium vs Long Term Spread")