TradingView
lagobrian23
12 Eyl 2020 09:48

Daily Risk Ranges 

S&P 500SP

Açıklama

This indictor creates daily Risk Ranges using historical volatility, volatility skew and vol-of-vol.

Sürüm Notları

Bug fixes

Sürüm Notları

I changed the code to use Cornish-Fisher approximation to define the skew of the range using the volatility skew and kurtosis. I also changed the volatility parametre to respond quicker to increases in volatility than decreases in volatility to avoid paying the price for hidden volatility.

Sürüm Notları

Implementing DCA with MA

Sürüm Notları

What happens she you don't check ma box
Yorumlar
jonnatakusuma
@lagobrian23, I see that there are some hard coding numbers in the cumulants i.e. 24 in third term and 36 in fourth term. Why is that the case? I can guess that 6 is 3! and 24 is 4! But I can't seem to figure out 36. Thanks man and great code!
bruitdefond
thanks. how is this one different from the other script?
lagobrian23
@bruitdefond , this one is mine and I'll be adding some features soon. The other one was for someone else
Daha Fazla