pinescripts

Technical Analysis Tools

Best Trailing Stop

Shows a trailing stop calculated from high/lows combined with an ATR based offset, displayed as a stepline.

Volatility Suite

Contains several volatility indicators.

• Z-Score
• Modified Z-Score
• SQN - This uses the System Quality Number formula, but applied directly to the market prices.
• Historical Ratio - Ratio of short term volatility to long term.
• Historical Range - Normalizes short term volatility using the min/max of the long term.
• Historical Rank - Percentile rank of short term volatility in the long term.

Futures In Play

Analyzes futures markets to identify which ones are "in play" based on various volatility and activity metrics. Calculates a composite score for each market and analyzes how well different features predict intraday volatility.

Features:

• Cumulative Volume (CumVol) - Current day's volume relative to average
• Range Percentage (RangePct) - Current day's range relative to ATR
• True Range Rank (TrRank) - Previous day's true range percentile
• Open Interest Rank (OiRank) - Previous day's open interest percentile
• Implied Volatility Rank (IvRank) - Previous day's IV percentile (where available)

Correlation Analysis:

• Analyzes how well each feature predicts intraday volatility
• Uses either Pearson or Spearman correlation (user selectable)