Exponential Volatility Bands
July 17, 2017, 7:34 PM
Indicators
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Same principle as famous “Bollinger Bands” but with REAL EXPONENTIALY WEIGHTED STANDARD DEVIATION algorithm as band multiplier from an EMA mid.
// ELSASTIC WEIGHTED MOVING AVERAGE
PRICE = LOG(customclose)
alpha = 2/(PERIODS+1)
// EWMA (EMA)
if barindex < PERIODS then
EWMA = AVERAGE[3](PRICE)
else
EWMA = alpha * PRICE + (1-alpha)*EWMA
endif
// ELASTIC WEIGHTED STANDARD DEVIATION (ESD)
error = PRICE - EWMA
dev = SQUARE(error)
if barindex < PERIODS+1 then
var = dev
else
var = alpha * dev + (1-alpha) * var
endif
ESD = SQRT(var)
// BANDSSAverage[20](close)
// BANDS
UB = EXP(EWMA + (DEVIATIONS*ESD))
BB = EXP(EWMA - (DEVIATIONS*ESD))
MID = EXP(EWMA)
RETURN MID as "EWMA(EMA)", UB as "+ESD", BB as "-ESD"
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ewmaBANDS.itf
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