VQ - Volatility Quality Indicators MT4

Re: VQ - Volatility Quality Indicators MT4

351 by mrtools

Volatility Quality Z-score

This is my attempt to add Zscore to volatility quality zero line similar to a version done on Tradeview.

From the original author StephXAGS:

Volatility Quality Zero Line attempts to keep a trader out of ranging markets, but the original calculation on TradingView had to be adjusted for each instrument. To avoid this issue, I have applied a z-score calculation to the VQZL so the result is standardized for all instruments. A Z-Score is simply a value's relationship to the mean (average) of a group of values, measured in terms of standard deviations from the mean.

This calculation allows us to compare current volatility to the mean (moving average) of the population (Z-Length). The closer the VQZL Z-Score is to the mean, the closer it will be to the Zero Line and therefore price is likely consolidating and choppy. The farther VQZL Z-Score is from the mean, the more likely price is trending.

The MA Mode determines the Moving Average used to calculate VQZL itself. The Z-Score is ALWAYS calculated with a simple moving average (as that is the standard calculation for Z-Score).

The Threshold Levels are the levels at which VQZL Z-Score will change from gray to yellow, orange, green (bullish), or red (bearish). These levels can be adjusted but you should adjust the Threshold Lines as well (in the style section), so they line up with your adjusted values.

Statistically speaking, confidence levels in relation to Z-Score are noted below. The built in Threshold Levels are the positive and negative values for 90%, 95%, and 99%. This would indicate when volatility is greater than these values they are out of the ordinary from the standard range. You may wish to adjust these levels for VQZL Z-Score to be more responsive to your trading needs

80% :: 1.28
85% :: 1.44
90% :: 1.64
95% :: 1.96
99% :: 2.58

What do the colors represent?

Grey = Choppy Market
Yellow = Consolidating Bullish Market
Orange = Weak Bullish Market
Limegreen = Strong Bullish Market
Red = Strong Bearish Market
Orange = Weak Bearish Market
Yellow = Consolidating Bearish Market

Feedback and comments are appreciated.

Attachments

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TransparentTrader

Re: VQ - Volatility Quality Indicators MT4

352 by TransparentTrader

mrtools wrote: Mon Oct 02, 2023 6:25 am This is my attempt to add Zscore to volatility quality zero line similar to a version done on Tradeview.

From the original author StephXAGS:

Volatility Qaulity Zero Line attempts to keep a trader out of ranging markets, but the original calculation on TradingView had to be adjusted for each instrument. To avoid this issue, I have applied a z-score calculation to the VQZL so the result is standardized for all instruments. A Z-Score is simply a value's relationship to the mean (average) of a group of values, measured in terms of standard deviations from the mean.

This calculation allows us to compare current volatility to the mean (moving average) of the population (Z-Length). The closer the VQZL Z-Score is to the mean, the closer it will be to the Zero Line and therefore price is likely consolidating and choppy. The farther VQZL Z-Score is from the mean, the more likely price is trending.

The MA Mode determines the Moving Average used to calculate VQZL itself. The Z-Score is ALWAYS calculated with a simple moving average (as that is the standard calculation for Z-Score).

The Threshold Levels are the levels at which VQZL Z-Score will change from gray to yellow, orange, green (bullish), or red (bearish). These levels can be adjusted but you should adjust the Threshold Lines as well (in the style section), so they line up with your adjusted values.

Statistically speaking, confidence levels in relation to Z-Score are noted below. The built in Threshold Levels are the positive and negative values for 90%, 95%, and 99%. This would indicate when volatility is greater than these values they are out of the ordinary from the standard range. You may wish to adjust these levels for VQZL Z-Score to be more responsive to your trading need
80% :: 1.28
85% :: 1.44
90% :: 1.64
95% :: 1.96
99% :: 2.58

As always, trade at your own risk.