OPEN-SOURCE SCRIPT
已更新

Daily Risk Ranges

4 174
This indictor creates daily Risk Ranges using historical volatility, volatility skew and vol-of-vol.
版本注释
Bug fixes
版本注释
I changed the code to use Cornish-Fisher approximation to define the skew of the range using the volatility skew and kurtosis. I also changed the volatility parametre to respond quicker to increases in volatility than decreases in volatility to avoid paying the price for hidden volatility.
版本注释
Implementing DCA with MA
版本注释
What happens she you don't check ma box

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