//@version=4

study(title="Pig expected move", shorttitle="Pig Expected Moves EWMA Forecast", overlay=true)
fsrc = close
Days = input(1, minval=1)
lambda = input(0.94, "lambda")
r = log(close/close[1])
Park = input(false,"High Low")
s1=input(true,title="Standard Deviation 1")
s2=input(true,title="Standard Deviation 2")
s3=input(true,title="Standard Deviation 3")

//Parkinson EWMA Forecast
Pfr = log(high/low)
Pf = 1/(4*log(2))

Pfv = 0.0
Pfv := lambda*nz(Pfv[1])+(1-lambda)*pow(Pfr,2)
Pfhv = sqrt(Pf*Pfv)




//forecast hv
fv = 0.0
fv := lambda*nz(fv[1])+(1-lambda)*pow(r,2)
fhv= sqrt(fv)
fexp = Park? exp(Pfhv*sqrt(Days)) : exp(fhv * sqrt(Days))

//forecast SD
fSD1 = fsrc*(fexp)
fSD2 = fSD1 * (fexp)
fSD3 = fSD2 * (fexp)

fSD4 = fsrc/(fexp)
fSD5 = fSD4 / (fexp)
fSD6 = fSD5 / (fexp)


//Parkinson EWMA hv
Pr = log(high/low)
P = 1/(4*log(2))

Pv = 0.0
Pv := lambda*nz(Pv[1])+(1-lambda)*pow(Pr,2)
Phv = sqrt(P*Pv)



//hv
src = close[1]
v = 0.0
v := lambda*nz(fv[1])+(1-lambda)*pow(r[1],2)
hv = sqrt(v)
exp = Park?  exp(Phv * sqrt(Days)): exp(hv * sqrt(Days))

//SD
SD1 = src*(exp)
SD2 = SD1 * (exp)
SD3 = SD2 * (exp)

SD4 = src/(exp)
SD5 = SD4 / (exp)
SD6 = SD5 / (exp)



plot(s1?fSD1:na, color=color.aqua,  transp=0, linewidth=2,offset=1,show_last=1)
plot(s2?fSD2:na, color=color.yellow,  transp=0, linewidth=2,offset=1,show_last=1)
plot(s3?fSD3:na, color=color.red, transp=0, linewidth=2,offset=1,show_last=1)
plot(s1?fSD4:na, color=color.aqua, transp=0, linewidth=2,offset=1,show_last=1)
plot(s2?fSD5:na, color=color.yellow,  transp=0, linewidth=2,offset=1,show_last=1)
plot(s3?fSD6:na, color=color.red,  transp=0, linewidth=2,offset=1,show_last=1)

plot(s1?fSD1:na, color=color.aqua,  transp=0, linewidth=2,offset=2,show_last=1)
plot(s2?fSD2:na, color=color.yellow,  transp=0, linewidth=2,offset=2,show_last=1)
plot(s3?fSD3:na, color=color.red, transp=0, linewidth=2,offset=2,show_last=1)
plot(s1?fSD4:na, color=color.aqua, transp=0, linewidth=2,offset=2,show_last=1)
plot(s2?fSD5:na, color=color.yellow,  transp=0, linewidth=2,offset=2,show_last=1)
plot(s3?fSD6:na, color=color.red,  transp=0, linewidth=2,offset=2,show_last=1)

plot(s1?fSD1:na, color=color.aqua,  transp=0, linewidth=2,offset=3,show_last=1)
plot(s2?fSD2:na, color=color.yellow,  transp=0, linewidth=2,offset=3,show_last=1)
plot(s3?fSD3:na, color=color.red, transp=0, linewidth=2,offset=3,show_last=1)
plot(s1?fSD4:na, color=color.aqua, transp=0, linewidth=2,offset=3,show_last=1)
plot(s2?fSD5:na, color=color.yellow,  transp=0, linewidth=2,offset=3,show_last=1)
plot(s3?fSD6:na, color=color.red,  transp=0, linewidth=2,offset=3,show_last=1)


plot(s1?SD1:na, color=color.aqua, title="1σ- 34.1%", transp=0, linewidth=1)
plot(s2?SD2:na, color=color.yellow, title="2σ- 47.7%", transp=0, linewidth=1)
plot(s3?SD3:na, color=color.red, title="3σ- 49.8%", transp=0, linewidth=1)
plot(s1?SD4:na, color=color.aqua, title="1σ- 34.1%", transp=0, linewidth=1)
plot(s2?SD5:na, color=color.yellow, title="2σ- 47.7%", transp=0, linewidth=1)
plot(s3?SD6:na, color=color.red, title="3σ- 49.8%", transp=0, linewidth=1)