The script is my implementation of "Forecasting a Volatility Tsunami" by Andrew Thrasher (Thrasher Analytics). You can find the paper here: researchgate.net/publication/317999480_Forecasting_a_Volatility_Tsunami I've changed a bit the approach - instead of two volatility indices (VIX & VVIX), I used two more: VXN and VXD. Additionally, I average the percentiles, but there is an option to swtich it to the original approach.
Hi How does one use the original approach of Thrasher?
sl-wk
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@nilray, you would need to rewrite the script on your own. Just remove lines 39 and 40 and change lines 37 and 38 as follows: plot(tickerOneHVol, "1st ticker HV", color=color.blue) plot(tickerTwoHVol, "2nd ticker HV", color=color.gray)
Looks interesting however I am only getting the one blue (VIX) line. Would be helpful if you commented your code too.
sl-wk
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@jroche1973, I'm not sure if I understand your comment. The blue line is the outcome of calculations. If the "Average HV of all four securities" is checked then it is the average historical volatility percentile. However, if the checkbox is unchecked then you will get all four percentiles on the chart: