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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 customWindow = 50; | |
| 11 | input violationMetricHigh = high; | |
| 12 | input violationMetricLow = low; | |
| 13 | input centerPoint = close; | |
| 14 | ||
| 15 | def dayCountBacktest = 3; | |
| 16 | def weekCountBacktest = 5; | |
| 17 | def monthCountBacktest = 22; | |
| 18 | def customWindowBacktest = customWindow - (RoundDown(customWindow / 7, 0) * 2); | |
| 19 | def customWindowDanger = RoundUp(customWindowBacktest * 0.32, 0); | |
| 20 | def customWindowWarning = RoundDown(customWindowBacktest * 0.16, 0); | |
| 21 | def dayCountDanger = RoundUp(dayCountBacktest * 0.32, 0); | |
| 22 | def dayCountWarning = RoundDown(dayCountBacktest * 0.16, 0); | |
| 23 | def weekCountDanger = RoundUp(weekCountBacktest * 0.32, 0); | |
| 24 | def weekCountWarning = RoundDown(weekCountBacktest * 0.16, 0); | |
| 25 | def monthCountDanger = RoundUp(monthCountBacktest * 0.32, 0); | |
| 26 | def monthCountWarning = RoundDown(monthCountBacktest * 0.16, 0); | |
| 27 | ||
| 28 | script ExMove {
| |
| 29 | input center = 0; | |
| 30 | input window = 1; | |
| 31 | ||
| 32 | def IVBase = imp_volatility(); | |
| 33 | ||
| 34 | plot ExMove = center * IVBase * Sqrt(window / 365); | |
| 35 | } | |
| 36 | ||
| 37 | ### Calculate the expected move ### | |
| 38 | def ExMoveOneDay = ExMove(centerPoint, 1); | |
| 39 | def ExMoveOneWeek = ExMove(centerPoint, 7); | |
| 40 | def ExMoveOneMonth = ExMove(centerPoint, 30); | |
| 41 | def ExMoveCustom = ExMove(centerPoint, customWindow); | |
| 42 | ||
| 43 | ### Determine violations ### | |
| 44 | def dayBacktestCenter = (Average(close, dayCountBacktest) + Average(close, RoundUp(dayCountBacktest/2, 0)) + Average(close, RoundUp(dayCountBacktest/4, 0)))/3; | |
| 45 | def dayCount = fold i = 1 to dayCountBacktest with countA = 0 | |
| 46 | do | |
| 47 | if violationMetricHigh[i] > (dayBacktestCenter + ExMoveOneDay) or violationMetricLow[i] < (dayBacktestCenter - ExMoveOneDay) then | |
| 48 | countA + 1 | |
| 49 | else | |
| 50 | countA; | |
| 51 | ||
| 52 | ||
| 53 | def weekBacktestCenter = (Average(close, weekCountBacktest) + Average(close, RoundUp(weekCountBacktest/2, 0)) + Average(close, RoundUp(weekCountBacktest/4, 0)))/3; | |
| 54 | def weekCount = fold n = 1 to weekCountBacktest with countB = 0 | |
| 55 | do | |
| 56 | if violationMetricHigh[n] > (weekBacktestCenter + ExMoveOneWeek) or violationMetricLow[n] < (weekBacktestCenter - ExMoveOneWeek) then | |
| 57 | countB + 1 | |
| 58 | else | |
| 59 | countB; | |
| 60 | ||
| 61 | def monthBacktestCenter = (Average(close, monthCountBacktest) + Average(close, RoundUp(monthCountBacktest/2, 0)) + Average(close, RoundUp(monthCountBacktest/4, 0)))/3; | |
| 62 | def monthCount = fold m = 1 to monthCountBacktest with countC = 0 | |
| 63 | do | |
| 64 | if violationMetricHigh[m] > (monthBacktestCenter + ExMoveOneMonth) or violationMetricLow[m] < (monthBacktestCenter - ExMoveOneMonth) then | |
| 65 | countC + 1 | |
| 66 | else | |
| 67 | countC; | |
| 68 | ||
| 69 | def customBacktestCenter = (Average(close, customWindowBacktest) + Average(close, RoundUp(customWindowBacktest/2, 0)) + Average(close, RoundUp(customWindowBacktest/4, 0)))/3; | |
| 70 | def customCount = fold o = 1 to customWindowBacktest with countD = 0 | |
| 71 | do | |
| 72 | if violationMetricHigh[o] > (customBacktestCenter + ExMoveCustom) or violationMetricLow[o] < (customBacktestCenter - ExMoveCustom) then | |
| 73 | countD + 1 | |
| 74 | else | |
| 75 | countD; | |
| 76 | ||
| 77 | ### Add labels to chart ### | |
| 78 | AddLabel(yes, "Range at 68% confidence", Color.WHITE); | |
| 79 | AddLabel(yes, "1 Day: +/-" + AsDollars(ExMoveOneDay) + "(" + dayCount + "/" + dayCountBacktest + ")", if dayCount >= dayCountDanger then Color.RED else if dayCount < dayCountDanger and dayCount > dayCountWarning then Color.YELLOW else Color.GREEN);
| |
| 80 | AddLabel(yes, "1 Week: +/-" + AsDollars(ExMoveOneWeek) + "(" + weekCount + "/" + weekCountBacktest + ")", if weekCount >= weekCountDanger then Color.RED else if weekCount > weekCountWarning and weekCount < weekCountDanger then Color.YELLOW else Color.GREEN);
| |
| 81 | AddLabel(yes, "1 Month: +/-" + AsDollars(ExMoveOneMonth) + "(" + monthCount + "/" + monthCountBacktest + ")", if monthCount >= monthCountDanger then Color.RED else if monthCount > monthCountWarning and monthCount < monthCountDanger then Color.YELLOW else Color.GREEN);
| |
| 82 | AddLabel(yes, customWindow + " Days: +/-" + AsDollars(ExMoveCustom) + "(" + customCount + "/" + customWindowBacktest + ")", if customCount >= customWindowDanger then Color.RED else if customCount > customWindowWarning and customCount < customWindowDanger then Color.YELLOW else Color.GREEN); |
