This indicator plots Daily Standard deviation levels on price chart based on (HV). It uses the most common approach for calculating as standard deviation of logarithmic returns, based on daily closing/settlement prices.
Assets: Currency Pairs, , also works on stocks, some indices.
Time Frames: 5min to 60min. This will also work on , by setting "DaystoExpire" to 21
- Use Daily Data to Calculate StdDev HV (default), otherwise use the charts Time Frame
- Lookback = number of days/periods to calculate stddev of HV (21 by default)
- Annual = number of trading days in a calender year (252 by default)
- Days to Expiry = number of days for the life of this option ( for auto calculation
this is 1 for intraday, 21 for daily and annual when chart TF used)
- Settlement Source = close price by default, can use another source.
- Settlement Weighted Average Length = by setting this to >1 then an average
is used for settlement.
- Display ### Standard Deviation Levels = select what levels are to be displayed.
Corrected -0.75 Label.
- Changed to only display background fill for upto +/- 1 Stddev.
- Added option to Display Todays Only Levels.
- Made changes so that it also work with Renko Charts, BUT only works well with short TF (<=5min) and brick (<=6pip).
- Added Option to display Previous Day's High Low Levels.
- Added Option to display Current Day's High Low Levels.
- Changed 0.75 level to 0.7 level.
- Shortened short title to "HVSD" for easier visual when Indicator Labels are used.
- Modified the way displaying "Only Today" levels, now only show up within the current days price action.
- Improved efficiency by reducing the number of plot lines required by adding "style=2" (Line with Breaks) to the plot options.
- Added fill colour for 2nd and 3rd Stddevs.
- Corrected no History flag "nohist" calculation, would misread the number of days of data left in the history.
settlement = sLength==1? src : vwma(src,sLength)
settlement := newDay ? settlement : nz(settlement)
Then you call:
// Calculate STDdev over life of the option (generally this is one day for 5min to 60min TFs,
// and 21 days for Daily TF)
stdhv = 0.0
DaystoExpire = DaystoExpire_==0? isintraday? useDaily? 1 : min(annual,1440/interval) : 21 : DaystoExpire_
stdhv := newDay? settlement*hv*sqrt(DaystoExpire/annual) : nz(stdhv)
To which of the settlements then the program is referring to?