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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
24e86d762a
- Updated BBWN, BBWP, CCV, CV, CVI, EWMA, GKV, HLV, HV, Jvolty, JVOLTYN, MASSI, NATR, RSV, RV, RVI, TR, UI, VOV, VR, YZV indicators with documentation links. - Added documentation links for Aberration, Acceleration Bands, Andrews' Pitchfork, Adaptive Price Zone, ATR Bands, Bollinger Bands, Center of Gravity, Donchian Channels, Decay Min-Max Channel, Detrended Synthetic Price, EACP, EBSW, HOMOD, Jurik Volatility Bands, Keltner Channel, MA Envelope, Min-Max Channel, Price Channel, Regression Channels, Standard Deviation Channel, Stoller Average Range Channel, Super Trend Bands, Ultimate Bands, Ultimate Channel, VWAP Bands, and VWAP with Standard Deviation Bands.
66 lines
2.7 KiB
Plaintext
66 lines
2.7 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Volatility of Volatility (VOV)", shorttitle="VOV", format=format.price, precision=4, overlay=false)
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//@function Calculates the Volatility of Volatility (VOV) with embedded rolling standard deviation algorithms.
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//@param src The source series. Default is `close`.
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//@param volatilityPeriod The lookback period for the initial volatility calculation. Default is 20.
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//@param vovPeriod The lookback period for calculating the standard deviation of the volatility series. Default is 10.
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//@returns float The VOV value.
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vov(series float src, int volatilityPeriod, int vovPeriod) =>
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if volatilityPeriod <= 0 or vovPeriod <= 0
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runtime.error("Periods must be greater than 0")
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var int p1 = 0
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var array<float> buffer1 = array.new_float(0)
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var int head1 = 0, var int count1 = 0
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var float sum1 = 0.0, var float sumSq1 = 0.0
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if p1 != volatilityPeriod
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p1 := math.max(1, volatilityPeriod)
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buffer1 := array.new_float(p1, na)
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head1 := 0, count1 := 0, sum1 := 0.0, sumSq1 := 0.0
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float oldest1 = array.get(buffer1, head1)
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if not na(oldest1)
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sum1 -= oldest1
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sumSq1 -= oldest1 * oldest1
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count1 := count1 == p1 ? count1 - 1 : count1
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float val1 = nz(src)
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sum1 += val1
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sumSq1 += val1 * val1
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count1 := count1 < p1 ? count1 + 1 : count1
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array.set(buffer1, head1, val1)
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head1 := (head1 + 1) % p1
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float initialVolatility = count1 > 1 ? math.sqrt(math.max(0.0, (sumSq1 / count1) - math.pow(sum1 / count1, 2))) : 0.0
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var int p2 = 0
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var array<float> buffer2 = array.new_float(0)
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var int head2 = 0, var int count2 = 0
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var float sum2 = 0.0, var float sumSq2 = 0.0
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if p2 != vovPeriod
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p2 := math.max(1, vovPeriod)
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buffer2 := array.new_float(p2, na)
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head2 := 0, count2 := 0, sum2 := 0.0, sumSq2 := 0.0
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float oldest2 = array.get(buffer2, head2)
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if not na(oldest2)
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sum2 -= oldest2
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sumSq2 -= oldest2 * oldest2
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count2 := count2 == p2 ? count2 - 1 : count2
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float val2 = nz(initialVolatility)
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sum2 += val2
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sumSq2 += val2 * val2
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count2 := count2 < p2 ? count2 + 1 : count2
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array.set(buffer2, head2, val2)
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head2 := (head2 + 1) % p2
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float vovValue = count2 > 1 ? math.sqrt(math.max(0.0, (sumSq2 / count2) - math.pow(sum2 / count2, 2))) : 0.0
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vovValue
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// Inputs
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i_src = input.source(close, "Source")
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i_volatilityPeriod = input.int(20, "Volatility Period", minval=1, tooltip="Period for initial volatility calculation.")
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i_vovPeriod = input.int(10, "VOV Period", minval=1, tooltip="Period for StDev of the volatility series.")
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// Calculation
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vovValue = vov(i_src, i_volatilityPeriod, i_vovPeriod)
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// Plot
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plot(vovValue, "VOV", color=color.yellow, linewidth=2)
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