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Fat Tails Study For ThinkOrSwim


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Extreme 'Low VOlume' are rare events per Taleb. have fun!

declare upper;

input MA_Period = 50;
input LookBack = 13;
input ShowColorOnPrice = No;

def PriceColor = ShowColorOnPrice && volume;
def Range = high - low;
def VxR = volume * Range;
def VperR = if range <> 0 then volume / Range else 0;
def LowVolume = volume == Lowest(volume, LookBack);

def WilderAveVol = WildersAverage(volume,20);

def bar3high = if Volume < (0.25 * WilderAveVol) then high else bar3high[1];
def bar3low = if Volume < (0.25 * WilderAveVol) then low else bar3low[1];

plot b3h = if Volume < (0.25 * WilderAveVol) then Double.NaN else bar3high;
b3h.AssignValueColor(if Volume < (0.25 * WilderAveVol) then Color.yellow else Color.yellow);
plot b3l = if Volume < (0.25 * WilderAveVol) then Double.NaN else bar3low;
b3l.AssignValueColor(if Volume < (0.25 * WilderAveVol) then Color.yellow else Color.yellow);

AddCloud(b3h, b3l, color.yellow);
Last edited by a moderator:

Join useThinkScript to post your question to a community of 21,000+ developers and traders.

for some reason I do not see any study showed up on the chart
The issue with 'rare' events; is that they occur rarely.
Charts using this indicator need to have sufficient data available to look back for one of these events.

Here is an example:
$PFE on a 5y1d chart

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