Fractal Standard Deviation Bands

v11
Fractal Standard Deviation Bands

This indicator calculates the simple moving average and standard deviation bands (Bollinger Bands) of fractals.

This indicator only works on PRTv11 onwards.

Set ‘p’ to the period you wish to use in the calculations.

Set ‘Deviations’ to the multiple of standard deviations away from the average you want the bands to be.

The type of fractal used in the calculation can be changed by adjusting the ‘BarsBefore’ and ‘Bars After’ settings. For example if BarsBefore = 2 and BarsAfter = 1 then the swing high fractals would have a high with two bars preceding it with lower highs and one bar after it with a lower high and the swing low fractals would have a low with two bars preceding it with higher lows and one bar after it with a higher low.

The ‘HighandLow’ setting allows you to either display one average line that is an average of the last ‘p’ high and low fractals and standard deviation bands calculated from this or to display two average lines – one for the average of only high fractals and the other the average of only low fractals. The upper band is then calculated off the high fractal average and the lower band off the low fractal average. If ‘HighandLow’ is selected you get the latter high and low separate calculations.

As always I advise downloading and importing to get full functionality.

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Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

ProRealTime ITF files and other attachments : How to import ITF files into ProRealTime platform?

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  1. Vonasi • 159 days ago #

    There are actually two ways to calculate standard deviations and I seem to have used the version for calculations on populations rather than on data samples. There is only a tiny difference between them but if you want a modified code then you can find it here; https://www.prorealcode.com/topic/standard-deviation-indicators-minor-fix/

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