Session Volatility Calculator

This script calculates the average volatility of trading sessions.

You specify a start date, an end date, and a session time (eg. market open, Asian session etc)

The script then scans through all the price action on your chart and calculates the average price
movement during that specified period.

What Is It For?
I created this script for my own purposes when developing certain strategies and testing certain ideas.

The purpose of this script is to give you an idea of how much price tends to move during certain times of
day for certain markets.

You could think of it as a "session's average true range".

In crypto and forex this might be how much price tends to move on certain pairs during the
Australian/Asian session, or the European session, or the overnight U.S. session etc.

In stocks this might be how much a symbol tends to move during the first hour of the day or the last hour
of the day.

The point of calculating this information is for better understanding how markets move during certain
times of day.

It's not a perfect science obviously since some days can be wilder than others depending on what
fundamental events are developing, but it's useful information to have for times when there are no
expected volatility-inducing events.

This info can help with optimizing targets and stop loss placement for certain day-trading strategies, and
just generally getting an idea of what kinds of moves you might reasonably expect out of overnight
positions or certain times of day etc - or at least that's what I use it for.

Settings
Hover your mouse over the "i" symbol to get more information on the script's settings, but here's a brief
description:

Start Date: The date to begin calculating from (set to 1000 by default so it scans the entire chart).
End Date: The date to stop calculating (set to 2099 by default so it scans the entire chart)
Time Session: This is the time session during the day that you want to analyze.
Color Background: If turned on, this setting changes the background color to highlight the session.

Indicator Values
The indicator outputs a handful of values onto your chart. This is what the colors correspond to:
Top-Right Box: The average price range during the given time of day over historical price action.

Green Number: The recent session's highest price.

Red Number: The recent session's lowest price.
Purple Number: The recent session's price range (high - low).
Orange Number: The recent session's range ÷ the average (outputs a relative % of the average).

// Last Updated: 1st February, 2022

// @version=5

indicator("Session Volatility", overlay=true)

// Get user input

startDate = input.time(title="Start Date", defval=timestamp("01 Jan 1000 13:30 +0000"), tooltip="Date

& time to begin analysis")

endDate = input.time(title="End Date", defval=timestamp("1 Jan 2099 19:30 +0000"), tooltip="Date &
time to stop analysis")

timeSession = input.session(title="Time Session To Analyze", defval="0600-0915", tooltip="Time session

to analyze volatility")

colorBG = input.bool(title="Color Background?", defval=true, tooltip="Change the background color

based on whether the current bar falls within the given session?")

// Custom function to convert forex pips into whole numbers

atr = ta.atr(14)

toWhole(number) =>

if syminfo.type == "forex" // This method only works on forex pairs

_return = atr < 1.0 ? (number / syminfo.mintick) / 10 : number

_return := atr >= 1.0 and atr < 100.0 and syminfo.currency == "JPY" ? _return * 100 : _return

else

number

// This function returns true if the current bar falls within the given time session (:1234567 is to include
all weekdays)
inSession(sess) => na(time(timeframe.period, sess + ":1234567")) == false and time >= startDate and
time <= endDate

bgcolor(inSession(timeSession) and colorBG ? color.rgb(0, 0, 255, 90) : na)

// Check if a new session has begun

var withinSession = false

if inSession(timeSession) and not inSession(timeSession)[1]

withinSession := true

// Declare required variables for analysis

var recentMovement = 0.0

var totalMovement = 0.0

var sessionsCounted = 0

var MAXINT = 2147483647.0

var highestHigh = -1.0

var lowestLow = MAXINT

// Check if a session has ended

if not inSession(timeSession) and inSession(timeSession)[1]

withinSession := false

// Analyze movement

recentMovement := highestHigh - lowestLow

totalMovement := totalMovement + recentMovement

sessionsCounted := sessionsCounted + 1

// Reset stored high/low

highestHigh := -1.0

lowestLow := MAXINT

// Get highest high and lowest low of current session

if withinSession

if high > highestHigh

highestHigh := high

if low < lowestLow

lowestLow := low

// Calculate average pip movement over all analyzed sessions

averageMovement = totalMovement / sessionsCounted

// Plot volatility info

plot(withinSession ? highestHigh : na, color=color.rgb(0,255,0,100), style=plot.style_linebr, title="Highest

High")

plot(withinSession ? lowestLow : na, color=color.rgb(255,0,0,100), style=plot.style_linebr, title="Lowest

Low")

plot(not withinSession ? recentMovement : na, color=color.rgb(128,0,128,100), title="Recent Change")

plot(not withinSession ? recentMovement / averageMovement : na, color=color.rgb(255,165,0,100),

title="Recent Change ÷ Average Change")

// Create an output table to display average pip change

var table resultTable = table.new(position.top_right, 3, 2, border_width = 3)

f_fillCell(_table, _column, _row, _value, _text) =>

_c_color = color.green

_transp = 80

_cellText = str.tostring(_value, "#.#####") + "\n" + _text

table.cell(_table, _column, _row, _cellText, bgcolor = color.new(_c_color, _transp), text_color =

_c_color)

// Only fill the cell data on the last bar on the chart (for optimization)

if barstate.islast
 f_fillCell(resultTable, 0, 0, toWhole(averageMovement), syminfo.type == "forex" ? "Pip Change" : "Price
Change")