TradingView
lagobrian23
١٢ أيلول سبتمبر ٢٠٢٠ ٢٢:٠٨

Risk Range 

S&P 500SP

الوصف

This indicator creates risk ranges using implied volatility (VIX) or historical volatility, skewness ( Cboe SKEW or estimate ) and kurtosis.
التعليقات
priceaction357
This is an interesting script, the resultant Risk Ranges are similar to Hedgeye's Risk Ranges, but in checking historical HE Risk Range data, they are not exactly the same.
I wonder what tweaks can be made to make it more accurate.
jsampognaro
@priceaction357, My thoughts are the same. In comparing the script to what I hear from Keith and Robert, this seems to be missing two things 1) the volatility of volatility and 2) volume. Happy to collaborate if possible.
priceaction357
@jsampognaro, I agree with you.
priceaction357
@jsampognaro, I also do not collaborating, but the first part is figuring out the formula they are using to generate the Risk Ranges. A number of people do have the formula, but are not sharing it. LOL
jsampognaro
@priceaction357, I don't blame them for not sharing it either. I'm sure Keith and team spent a lot of time developing it. Just looking to get as close as I can to augment the signals from HE.
jsampognaro
@priceaction357, Lets collaborate to try and get something comparable.
priceaction357
@jsampognaro, Feel free to DM me at your convenience.
TahaBintahir
Hi Lagobrian32 i'm trying to understand what you are doing in this script the part that i don't understand is why are you doing the following
xPrice = log(close / close[1])
I assume you are trying to obtain the 'Continuously Compounded Rate of Return' and using that to calculate the historical volatility but shouldn't the xPrice expression be "xPrice=log(close[1]/close)" since 'close' represents today's closing price and 'close[1]' represents yesterdays closing price.
Or am i missing something?
TahaBintahir
@Lagobrian32, I think trading view removed square brackets
Hi Lagobrian32 i'm trying to understand what you are doing in this script the part that i don't understand is why are you doing the following
xPrice = log(close / close(1))
I assume you are trying to obtain the 'Continuously Compounded Rate of Return' and using that to calculate the historical volatility but shouldn't the xPrice expression be "xPrice=log(close(1)/close)" since 'close' represents today's closing price and 'close(1)' represents yesterdays closing price.
المزيد