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Probabilities: Periodic Return Sigma
Summary: This is an indicator that uses the historical volatility to predict price action in the future using a Periodic Return (PR) calculation and a Moving Average (MA) of 200 periods.
Periodic Return Sigma on the Charts
This indicator produces an output value, Z, by calculating the periodic return, the 200MA and the sigma (standard deviation) value.
- Periodic Return (PR): this is calculated by taking the natural logarithm of the ratio of candle close divided by the previous candle close: ln(candle.close/candle.previous.close)
- Sigma: The sigma value is calculated by finding the standard deviation of the past price action (defaulting to 200 periods).
- Z Value: The z value is then calculated by finding the difference between the Periodic Return and the 200MA, then dividing result by the sigma value: z = (PR - MA) / sigma
The length of the calculation can be changed by locating and opening the Javascript Code under Data Building Procedure -> Procedure Loop under ’Periodic_Return_Sigma_Probabilities’ Product Definition.
Products & Properties
The following properties are available to access:
| Product Name | Product Variable | Properties |
|---|---|---|
| Periodic_Return_Sigma_Probabilities | PRSP | Z |
Example:
A simple buy signal could be triggered when the signal line crosses the red -2.34 line from below:
chart.at01hs.PRSP.previous.Z < -2.34 && chart.at01hs.PRSP.Z > -2.34 Maintainer:
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