Volatility band

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Volatility band

Postby Alexander.Gettinger » Wed May 02, 2018 2:59 pm

As described by Sylvain Vervoort's article "Within The Volatility Band."

Formulas:
Middle = EMA(Length_Vol_Band, Typical price),
Lower = Middle-devLow,
Upper = Middle+devHigh, where
devLow = devHigh*Low_Band_Adjust,
devHigh = EMA(Length_Vol_Band, V_Value),
V_Value = MVA(tpSeries, Length_Vol)/Dev_Factor,
tpSeries[i] = Typical price[i] - Low price[i-1] if Typical price[i]>=Typical price[i-1],
tpSeries[i] = Typical price[i+1] - Low price[i] if Typical price[i]<Typical price[i-1].

Volatility_Band.PNG


Download:
Volatility Band_JS.jsl
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Alexander.Gettinger
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