OPEN-SOURCE SCRIPT
Historical Volatility Percentile Filter
Updated
This indicator provides a simple market regime filter for Historical Volatility. Depending on the strategy that you are using, it is useful to know how your strategy will perform at different
ranges of volatility, as this can greatly impact your performance. For instance, some of my long-only mean reversion strategies will only take trades where the volatility percentile is not extremely high, as this can often indicate fundamental changes in the security or the start of a big market correction. Some strategies may work better when volatility is higher
Feel free to use the following code along with your strategies to help improve performance and reduce the volatility of your gains in the long term.
ranges of volatility, as this can greatly impact your performance. For instance, some of my long-only mean reversion strategies will only take trades where the volatility percentile is not extremely high, as this can often indicate fundamental changes in the security or the start of a big market correction. Some strategies may work better when volatility is higher
Feel free to use the following code along with your strategies to help improve performance and reduce the volatility of your gains in the long term.
Release Notes
Clean up variable namesOpen-source script
In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in publication is governed by House rules. You can favorite it to use it on a chart.
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