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Volatility prediction indicator – Volatility Forecaster

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The indicator predicts periods of increased market volatility on 24 hours ahead, based on statistical data. It shows a time intervals, when it is better to give special attention to a market. Time, when the probability of market acceleration, momentum or a trend reversal becomes most likely. The idea is based on a simple logical conclusion - if the market was volatile in the same time periods in the past, then this will happen again in the future.

The indicator is useful for all markets. But especially for cryptocurrency, which, unlike stock market or forex, doesn’t have time-limited trading sessions and weekends. Therefore, statistical analysis is the only way to reliably determine periods of increased activity of market participants.

The indicator can't predict all volatility. But it provides a fairly accurate prediction of statistical volatility, - one that periodically occurs at the same time.

How to use

1) Accounting line

Need to adjust the indicator. An orange bar means that the volatility of this candle is taken into account by the indicator and will be used in future calculations. Gray zone - volatility won't be accounted.

2) Far tracking bar chart

Shows the probability of increasing volatility, from 0 to 100%. The calculation of probability is carried out taking into account previous periods. On timeframes from "1s" to "1D", these are weeks. For example, if in the indicator setting, the value "Far Tracking Period" = 10 and the histogram shows 80%. This means that over the past 10 weeks. In 8 out of 10 days, this day of the week, at the same time, there was increased volatility.

3) Combined probability

This is a combination of the probability of two periods displayed in a particular color.

4) Near tracking bar chart

Shows the probability of increasing volatility, from 0 to 100% (ignore the "-" sign). The calculation of probability is carried out taking into account previous periods. On timeframes from "1s" to "1D" these are days. For example, if in the indicator setting, the value "Near Tracking Period" = 10 and the histogram shows 70%. This means that during the last 10 days, in 7 of them, at this time the volatility was increased.

5) Calibration line

In developing. Need to adjust the indicator. Ideally, the indicator settings should be such that this line is as green as possible.

Indicator settings

  • Output Mode - full, simplified output of the indicator. Or, debug mode.
  • Near Tracking period - how many recent days should be taken into account in the calculations.
  • Far Tracking period - how many recent weeks should be taken into account in the calculations.
  • Insensitive - allows you to exclude weak volatility from the calculations. The higher, the less sensitive the indicator.
  • Show Probability Not Less Than - indicates the minimum probability value for displaying on histograms, not excluding it from the calculation. But taken into account by the calibration line.
  • ATR Smoothing Type - the length of the ATR registering volatility.
  • ATR Smoothing Lenght - is a method of smoothing registering ATR.
  • Level ATR Length - the length of the level-ATR.
  • ATRs Multiplier - the multiplier of the value of two ATRs. Needed for debugging convenience. Since the values ​​of the latter can be very small or very large.

Due to the limitations of tradingview, for the parameters "Near Tracking period" and "Far Tracking period" there is the maximum possible value for different timeframes. Below are the maximum values for some of them:

  • "1m": - / -
  • "5m": 18 / 3
  • "30m": 105 / 15
  • "1h": 209 / 30
  • "4h": 834 / 120

ToDo

  • Since the indicator setting is incredibly complex and not obvious. It is planned, periodically, to lay out ready-made, most effective settings calculated by machine search.
  • Add volume as a source of volatility.
  • More accurate methods for calculating probability.
  • Market phase indicator based on volatility.