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HAR-Parkinson Volume Forecast
HAR-Parkinson is two ideas combined:
Parkinson volatility — instead of measuring volatility from closing prices, it uses each candle's high-low range: σ = √(ln(High/Low)² / 4ln2). Range captures more information than close-to-close change (a bar that swings wildly but closes flat still shows high Parkinson vol, where close-based measures would show near zero).
HAR (Heterogeneous AutoRegressive) — forecasts tomorrow's volatility as a weighted blend of three lookback averages: recent (1 bar), short-term (~1 week), and long-term (~1 month). The idea is that volatility has memory at multiple timescales simultaneously — a market that's been calm for a month but spiked today behaves differently than one that's been choppy all month.
Put together: HAR-Parkinson predicts how big the next candle's range is likely to be, using range-based volatility measured at three different horizons.
What it does not do: predict direction. It only estimates size of movement, not which way. We tested that limit directly — it forecasts volatility well (correlation ~0.44–0.60 with actual next-bar range) but every attempt to build a trading edge from it (breakout gating, range-fading, vol-scaled stops) failed once tested honestly. It's useful as a context tool — expected range, stop-sizing reference — not as an entry signal.
Parkinson volatility — instead of measuring volatility from closing prices, it uses each candle's high-low range: σ = √(ln(High/Low)² / 4ln2). Range captures more information than close-to-close change (a bar that swings wildly but closes flat still shows high Parkinson vol, where close-based measures would show near zero).
HAR (Heterogeneous AutoRegressive) — forecasts tomorrow's volatility as a weighted blend of three lookback averages: recent (1 bar), short-term (~1 week), and long-term (~1 month). The idea is that volatility has memory at multiple timescales simultaneously — a market that's been calm for a month but spiked today behaves differently than one that's been choppy all month.
Put together: HAR-Parkinson predicts how big the next candle's range is likely to be, using range-based volatility measured at three different horizons.
What it does not do: predict direction. It only estimates size of movement, not which way. We tested that limit directly — it forecasts volatility well (correlation ~0.44–0.60 with actual next-bar range) but every attempt to build a trading edge from it (breakout gating, range-fading, vol-scaled stops) failed once tested honestly. It's useful as a context tool — expected range, stop-sizing reference — not as an entry signal.
نص برمجي مفتوح المصدر
بروح TradingView الحقيقية، قام مبتكر هذا النص البرمجي بجعله مفتوح المصدر، بحيث يمكن للمتداولين مراجعة وظائفه والتحقق منها. شكرا للمؤلف! بينما يمكنك استخدامه مجانًا، تذكر أن إعادة نشر الكود يخضع لقواعد الموقع الخاصة بنا.
إخلاء المسؤولية
لا يُقصد بالمعلومات والمنشورات أن تكون، أو تشكل، أي نصيحة مالية أو استثمارية أو تجارية أو أنواع أخرى من النصائح أو التوصيات المقدمة أو المعتمدة من TradingView. اقرأ المزيد في شروط الاستخدام.
نص برمجي مفتوح المصدر
بروح TradingView الحقيقية، قام مبتكر هذا النص البرمجي بجعله مفتوح المصدر، بحيث يمكن للمتداولين مراجعة وظائفه والتحقق منها. شكرا للمؤلف! بينما يمكنك استخدامه مجانًا، تذكر أن إعادة نشر الكود يخضع لقواعد الموقع الخاصة بنا.
إخلاء المسؤولية
لا يُقصد بالمعلومات والمنشورات أن تكون، أو تشكل، أي نصيحة مالية أو استثمارية أو تجارية أو أنواع أخرى من النصائح أو التوصيات المقدمة أو المعتمدة من TradingView. اقرأ المزيد في شروط الاستخدام.