VAM Pro (Multi-Model) [Final]Volatility Adjusted Momentum (VAM) Pro+ is a professional quantitative tool designed to measure trend strength by normalizing momentum against market volatility. Standard momentum indicators often fail during high-volatility periods because they treat every price change the same regardless of market noise. This indicator solves that problem by scaling price changes based on their statistical significance using Z-Score logic. This Pro+ version is specifically optimized for Scalping and Intraday Trading by introducing advanced volatility estimators and mathematical horizon adjustments that superior to classic standard deviation models.
The indicator allows you to choose the most suitable volatility model for your specific asset class. The Parkinson Volatility model is highly recommended for Crypto markets because it uses the High-Low range instead of just close prices, effectively capturing intraday wicks and liquidation spikes that standard deviation often misses. For Equities and Forex, the Garman-Klass model is the most efficient choice as it utilizes the full Open-High-Low-Close data set to account for opening gaps and professional trading ranges.
The mathematical core of the script features a strict Horizon Adjustment based on the Square Root of Time rule. This aligns the one-bar volatility risk with your chosen momentum lookback period to ensure a mathematically consistent calculation. By default, the script uses Logarithmic Returns to maintain scale invariance, which is critical for assets with high percentage swings like Cryptocurrencies. To trade with VAM Pro, look for the histogram color and its relation to the Zero line. A Green histogram indicates positive volatility-adjusted momentum where bulls are dominant, while a Red histogram shows bearish dominance. Values reaching the +2.0 or -2.0 Sigma levels represent statistically extreme moves that often act as exhaustion points or precede strong mean-reversion opportunities. When the histogram crosses the yellow signal line, it provides an early warning that the current momentum is fading.
Investment involves risk. The Volatility Adjusted Momentum (VAM) Pro+ is an analytical tool and does not constitute financial advice, investment recommendations, or an offer to buy or sell any security. Past performance is not indicative of future results. Market conditions can change rapidly, and technical indicators may produce false signals. Always perform your own due diligence, use proper risk management, and consult with a certified financial advisor before making any trading decisions. The author assumes no responsibility for any financial losses incurred through the use of this script.
Indicator
High/Low Historical Volatility Bands [Loxx]High/Low Historical Volatility Bands are constructed using:
Average as the middle line.
Upper and lower bands using the Historical Volatility high/low (instead of "regular" Historical Volatility) for bands calculation.
What is Historical Volatility?
Historical Volatility (HV) is a statistical measure of the dispersion of returns for a given security or market index over a given period of time. Generally, this measure is calculated by determining the average deviation from the average price of a financial instrument in the given time period. Using standard deviation is the most common, but not the only, way to calculate Historical Volatility .
The higher the Historical Volatility value, the riskier the security. However, that is not necessarily a bad result as risk works both ways - bullish and bearish , i.e: Historical Volatility is not a directional indicator and should not be used as other directional indicators are used. Use to to determine the rising and falling price change volatility .
SH is stock's High price in t day.
SL is stock's Low price in t day.
High/Low Return (xt^HL) is calculated as the natural logarithm of the ratio of a stock's High price to stock's Low price.
Return:
And Parkinson's number: 1 / (4 * math.log(2)) * 252 / n * Σ (n, t =1) {math.log(Ht/Lt)^2}
An important use of the Parkinson's number is the assessment of the distribution prices during the day as well as a better understanding of the market dynamics. Comparing the Parkinson's number and periodically sampled volatility helps traders understand the tendency towards mean reversion in the market as well as the distribution of stop-losses.
The color of the middle line, unlike the bands colors, has 3 colors. When colors of the bands are the same, then the middle line has the same color, otherwise it's white.
Included
Alerts
Signals
Loxx's Expanded Source Types
Bar coloring
Related indicators:
Parkinson's Historical Volatility Bands
Historical Volatility Bands
Indicator
Parkinson's Historical Volatility Bands [Loxx]Parkinson's Historical Volatility Bands are constructed using:
Average as the middle line.
Upper and lower bands using the Parkinson's historical volatility (instead of "regular" Historical Volatility) for bands calculation.
What is Parkinson's Historical Volatility?
The Parkinson's number, or High Low Range Volatility developed by the physicist, Michael Parkinson in 1980, aims to estimate the Volatility of returns for a random walk using the High and Low in any particular period. IVolatility.com calculates daily Parkinson values. Prices are observed on a fixed time interval: n = 10, 20, 30, 60, 90, 120, 150, 180 days.
SH is stock's High price in t day.
SL is stock's Low price in t day.
High/Low Return (xt^HL) is calculated as the natural logarithm of the ratio of a stock's High price to stock's Low price.
Return:
And Parkinson's number: 1 / (4 * math.log(2)) * 252 / n * Σ (n, t =1) {math.log(Ht/Lt)^2}
An important use of the Parkinson's number is the assessment of the distribution prices during the day as well as a better understanding of the market dynamics. Comparing the Parkinson's number and periodically sampled volatility helps traders understand the tendency towards mean reversion in the market as well as the distribution of stop-losses.
The color of the middle line, unlike the bands colors, has 3 colors. When colors of the bands are the same, then the middle line has the same color, otherwise it's white.
Included
Alerts
Signals
Loxx's Expanded Source Types
Bar coloring
Indicator
