SVE Volatility Bands
Volatility bands designed to highlight volatility changes especially when using non-time-related charts like Renko.
Usage
Use to identify extreme price excursions and volatility contraction/expansion. The bands adapt to volatility using a smoothed ATR-like calculation.
Background
Introduced by Sylvain Vervoort, SVE Volatility Bands use a weighted moving average of price and a smoothed True Range to create dynamic bands. It includes a specific adjustment for the lower band and a midline based on typical price.
Parameters
bands_period(default: 20): Period for the price WMA and the ATR smoothing basis.bands_deviation(default: 2.4): Multiplier for the volatility range.low_band_adjust(default: 0.9): Adjustment factor for the lower band.mid_line_length(default: 20): Period for the midline WMA.
Formula
\[
ATR\_MA = SMA(TrueRange, bands\_period \times 2 - 1) \\
WtdAvgVal = WMA(Close, bands\_period) \\
Upper = WtdAvgVal \times (1 + (ATR\_MA \times bands\_deviation) / Close) \\
Lower = WtdAvgVal \times (1 - (ATR\_MA \times bands\_deviation \times low\_band\_adjust) / Close) \\
MidLine = WMA(TypicalPrice, mid\_line\_length)
\]