Historical Volatility Percentile For ThinkOrSwim

[samer800]

converted and modified from TV.

#// Copyright (c) 2019-present, Franklin Moormann (cheatcountry)
#// Historical Volatility Percentile + SMA [CC] script may be freely distributed under the MIT license.
#https://www.tradingview.com/script/QM23PXyq-BA-Historical-Volatility-Percentile-SMA/
#study(title="Historical Volatility Percentile + SMA ", overlay=false)
# Converted & Mod by Sam4Cok @ 07/2022
# minor update to fix option to select the plot type (Bar/Line)

declare lower;
input src = close;        # "Source"
input bar = yes;          # "Allow Bar Color Change?"
input length = 13;        # "Length"
input annualLength = 252; # "Annual Length"
input MA_Length    = 9;  # "EMA Length

def na = Double.NaN;
script nz {
    input data         = 0;
    input replacement  = 0;
    def ret_val = if IsNaN(data) then replacement else data;
    plot return = ret_val;
}

#// the reason why I don't use the pinescript stddev function below is because we are doing sample std deviation not population
def r = Log(src / nz(src[1], src));
def rAvg = SimpleMovingAvg(r, length);
def hv = Sqrt(Sum(Power(r - rAvg, 2), length) / (length - 1)) * Sqrt(annualLength);

def count = fold i = 0 to annualLength - 1
            with p
            do p + if (if IsNaN(hv[i]) then 0 else hv[i]) < hv then 1 else 0;

def hvp = count / annualLength * 100;
def hvpSma1 = SimpleMovingAvg(hvp, length);
def hvpSma = SimpleMovingAvg(hvpSma1, length);
def srcEma = ExpAverage(src, MA_Length);

def sigUP = if hvp >= hvpSma and src >= srcEma and src >= src[1] then  1 else
            if hvp >= hvpSma and src >= srcEma and src <  src[1] then -1 else 0;
def sigDN = if hvp >= hvpSma and src <  srcEma and src <= src[1] then  1 else
            if hvp >= hvpSma and src <  srcEma and src >  src[1] then -1 else 0;

def ExUp = sigUP > 0 ;
def Up   = sigUP < 0 ;
def ExDn = sigDN > 0 ;
def Dn   = sigDN < 0 ;
def Range = src >= srcEma and !ExUp and !Up and !ExDn and !Dn ;

plot hvpma = hvpSma;
hvpma.SetDefaultColor(Color.WHITE);
hvpma.SetLineWeight(2);

plot hvpLine = hvp;
hvpLine.SetPaintingStrategy(if bar then PaintingStrategy.HISTOGRAM else PaintingStrategy.Line);
hvpLine.AssignValueColor(if ExUp then Color.GREEN else
                         if Up   then Color.DARK_GREEN else
                         if ExDn then Color.RED else
                         if DN   then Color.DARK_RED else
                         if Range then Color.YELLOW else Color.GRAY);

### END Code

 

[Ali_A]

#// Copyright (c) 2019-present, Franklin Moormann (cheatcountry) #// Historical Volatility Percentile + SMA [CC] script may be freely distributed under the MIT license. #https://www.tradingview.com/script/QM23PXyq-BA-Historical-Volatility-Percentile-SMA/ #study(title="Historical Volatility Percentile + SMA ", overlay=false) # Converted & Mod by Sam4Cok @ 07/2022 # minor update to fix option to select the plot type (Bar/Line) declare lower; input src = close; # "Source" input bar = yes; # "Allow Bar Color Change?" input length = 13; # "Length" input annualLength = 252; # "Annual Length" input MA_Length = 9; # "EMA Length def na = Double.NaN; script nz { input data = 0; input replacement = 0; def ret_val = if IsNaN(data) then replacement else data; plot return = ret_val; } #// the reason why I don't use the pinescript stddev function below is because we are doing sample std deviation not population def r = Log(src / nz(src[1], src)); def rAvg = SimpleMovingAvg(r, length); def hv = Sqrt(Sum(Power(r - rAvg, 2), length) / (length - 1)) * Sqrt(annualLength); def count = fold i = 0 to annualLength - 1 with p do p + if (if IsNaN(hv) then 0 else hv) < hv then 1 else 0; def hvp = count / annualLength * 100; def hvpSma1 = SimpleMovingAvg(hvp, length); def hvpSma = SimpleMovingAvg(hvpSma1, length); def srcEma = ExpAverage(src, MA_Length); def sigUP = if hvp >= hvpSma and src >= srcEma and src >= src[1] then 1 else if hvp >= hvpSma and src >= srcEma and src < src[1] then -1 else 0; def sigDN = if hvp >= hvpSma and src < srcEma and src <= src[1] then 1 else if hvp >= hvpSma and src < srcEma and src > src[1] then -1 else 0; def ExUp = sigUP > 0 ; def Up = sigUP < 0 ; def ExDn = sigDN > 0 ; def Dn = sigDN < 0 ; def Range = src >= srcEma and !ExUp and !Up and !ExDn and !Dn ; plot hvpma = hvpSma; hvpma.SetDefaultColor(Color.WHITE); hvpma.SetLineWeight(2); plot hvpLine = hvp; hvpLine.SetPaintingStrategy(if bar then PaintingStrategy.HISTOGRAM else PaintingStrategy.Line); hvpLine.AssignValueColor(if ExUp then Color.GREEN else if Up then Color.DARK_GREEN else if ExDn then Color.RED else if DN then Color.DARK_RED else if Range then Color.YELLOW else Color.GRAY); ### END Code

Hello @samer80 , nice work! What indicator do you have on the upper chart? Mostly interested in the one that is trailing the price, turning from red to green.. can you share the link to that?

 

[samer800]

Hello @samer80 , nice work! What indicator do you have on the upper chart? Mostly interested in the one that is trailing the price, turning from red to green.. can you share the link to that?

seems I were testing somethig.
anyway, the indicator already shared in below post.

https://usethinkscript.com/threads/nsdt-hama-candles-ssl-channel-for-thinkorswim.11873/