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| 1 | ### Expected Move Labels ### | |
| 2 | # This script will add expected move labels, # | |
| 3 | # in dollars, to charts. IT IS INTENDED TO BE# | |
| 4 | # USED ONLY ON CHARTS WITH DAILY BARS. The # | |
| 5 | # math will not work one charts with other # | |
| 6 | # settings. # | |
| 7 | ||
| 8 | ### Settings for coloring ### | |
| 9 | ||
| 10 | input dayCountDanger = 1; #hint: Out of the last two days, this number of violations of the expected move will turn the label red. | |
| 11 | input weekCountDanger = 5; #hint: Out of the last ten days, this number of violations of the expected move will turn the label red. | |
| 12 | input weekCountWarning = 2; #hint: Out of the last ten days, this number of violations of the expected move will turn the label yellow. | |
| 13 | input monthCountDanger = 11; #hint: Out of the last twenty two days, this number of violations of the expected move will turn the label red. | |
| 14 | input monthCountWarning = 5; #hint: Out of the last twenty two days, this number of violations of the expected move will turn the label yellow. | |
| 15 | input violationMetric = close; # hint: The metric that will count as a violation against the expected move. | |
| 16 | ||
| 17 | ### Calculate the expected move ### | |
| 18 | def IVBase = imp_volatility(); | |
| 19 | def ExMoveBase = close * IVBase; | |
| 20 | def ExMoveOneDay = close * IVBase * Sqrt(1/365); | |
| 21 | def ExMoveOneWeek = close * IVBase * Sqrt(7/365); | |
| 22 | def ExMoveOneMonth = close * IVBase * Sqrt(30/365); | |
| 23 | ||
| 24 | ### Determine violations ### | |
| 25 | def dayCount = fold i = 1 to 5 with countA = 0 | |
| 26 | do | |
| 27 | if violationMetric[i] > (violationMetric + ExMoveOneDay) or violationMetric[i] < (violationMetric - ExMoveOneDay) then | |
| 28 | countA + 1 | |
| 29 | else | |
| 30 | countA; | |
| 31 | def weekCount = fold n = 1 to 10 with countB = 0 | |
| 32 | do | |
| 33 | if violationMetric[n] > (violationMetric + ExMoveOneWeek) or violationMetric[n] < (violationMetric - ExMoveOneWeek) then | |
| 34 | countB + 1 | |
| 35 | else | |
| 36 | countB; | |
| 37 | def monthCount = fold m = 1 to 22 with countC = 0 | |
| 38 | do | |
| 39 | if violationMetric[m] > (violationMetric + ExMoveOneMonth) or violationMetric[m] < (violationMetric - ExMoveOneMonth) then | |
| 40 | countC + 1 | |
| 41 | else | |
| 42 | countC; | |
| 43 | ||
| 44 | ### Add labels to chart ### | |
| 45 | AddLabel(yes, "Expected Moves at 68% confidence", Color.WHITE); | |
| 46 | AddLabel(yes, "1 Day: +/-" + AsDollars(ExMoveOneDay) + "(" + dayCount + ")", if dayCount > 1 then Color.RED else if dayCount == 1 then Color.YELLOW else Color.GREEN);
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| 47 | AddLabel(yes, "1 Week: +/-" + AsDollars(ExMoveOneWeek) + "(" + weekCount + ")", if weekCount >= 5 then Color.RED else if weekCount > 2 and weekCount < 5 then Color.YELLOW else Color.GREEN);
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| 48 | AddLabel(yes, "1 Month: +/-" + AsDollars(ExMoveOneMonth) + "(" + monthCount + ")", if monthCount >= 11 then Color.RED else if monthCount > 5 and monthCount < 11 then Color.YELLOW else Color.GREEN); |
