Volume Weighted Standard Deviation

This indicator calculates the Standard Deviation and decomposes total volatility into its core components, allowing to analyze the underlying character of the market.

Key Features:

Volatility Decomposition: The indicator separates volatility based on the 'Estimate Bar Statistics' option.

Standard Mode (Estimate Bar Statistics = OFF): Calculates a simple (Volume-Weighted) Standard Deviation of the selected Source.

Decomposition Mode (Estimate Bar Statistics = ON): The indicator uses a statistical model ('Estimator') to calculate within-bar volatility (choppiness, noise) and between-bar volatility (trending moves). (Assumption: In this mode, the Source input is ignored, and an estimated mean for each bar is used instead).

Dual Display Modes: The indicator offers two modes to visualize this information:

Absolute Mode: Plots the total standard deviation as a stacked area chart, showing the proportional contribution of the 'Between' and 'Within' components.

Normalized Mode: Plots the direct ratio of each component's variance (from 0 to 1), making it easy to identify which character is dominant.

Calculation Options: The volatility calculation can be optionally Volume weighted. An optional Normalize Volatility setting performs the calculation in logarithmic space, making volatility comparable across different price scales.

Volatility Pivot Detection: Includes a built-in pivot detector that identifies significant turning points (highs and lows) in the total volatility line. (Note: This is only visible in 'Absolute Mode').

Note on Confirmation (Lag): Pivot signals are confirmed using a lookback method. A pivot is only plotted after the Pivot Right Bars input has passed, which introduces an inherent lag.

Multi-Timeframe (MTF) Capability:

MTF Volatility Lines: The volatility lines can be calculated on a higher timeframe, with standard options to handle gaps (Fill Gaps) and prevent repainting (Wait for...).

Limitation: The Pivot detection (Calculate Pivots) is disabled if a Higher Timeframe (HTF) is selected.

Integrated Alerts: Includes 6 alerts for:

Volatility character changes (e.g., 'Trend Character Emerging', 'Character Change from Trend to Choppy').

Volatility pivot (high or low) detection.

DISCLAIMER

For Informational/Educational Use Only: This indicator is provided for informational and educational purposes only. It does not constitute financial, investment, or trading advice, nor is it a recommendation to buy or sell any asset.

Use at Your Own Risk: All trading decisions you make based on the information or signals generated by this indicator are made solely at your own risk.

No Guarantee of Performance: Past performance is not an indicator of future results. The author makes no guarantee regarding the accuracy of the signals or future profitability.

No Liability: The author shall not be held liable for any financial losses or damages incurred directly or indirectly from the use of this indicator.

Signals Are Not Recommendations: The alerts and visual signals (e.g., crossovers) generated by this tool are not direct recommendations to buy or sell. They are technical observations for your own analysis and consideration.