I need some help programming this indicator. I am trying to plot a 1 standard deviation band above and below a 200 period simple moving average. I want the standard deviation to be based off of historical volatility. Similar to how "the impeccable investor" uses. here is what I have so far:
thanks for any help in advance!
input HVlength = 20; def closeLog = Log(close / close); def SDev = stdev(closeLog,HVlength) * Sqrt(HVlength / (HVlength-1)); def m= SDev * close; def spike = Average((close - close) / m); input length = 200; input numDevDn = -1.0; input numDevUp = 1.0; input averageType = AverageType.SIMPLE; def avg = Average(close, length); def expDev = ExpAverage(AbsValue(avg - close), length); def SMADev = SimpleMovingAvg(AbsValue(avg - close), length); plot UpperBand = avg + numDevUp * Average(SMADev+spike-1, 1); plot LowerBand = avg + numDevDn * Average(SMADev+spike-1,1); UpperBand.SetDefaultColor(Color.GREEN); LowerBand.SetDefaultColor(Color.RED); AddCloud(UpperBand, LowerBand, Color.LIGHT_GRAY, Color.LIGHT_GRAY);
Last edited by a moderator: