Volatility Bands

The Volatility Bands indicator or also known as "Concretum Bands" recreates the upper and lower bound of the Noise Area. The indicator helps you spot when price is making unusually large moves relative to recent “opening range” activity. It draws upper and lower bands around price, based on how much the market has moved in prior sessions. When price pushes beyond these bands—especially in combination with optional filters like an Exponential Moving Average (EMA) or Volume-Weighted Average Price (VWAP)—it can signal a strong breakout or reversal opportunity.The indicator aims to outline an intraday price region where the asset is expected to move without indicating any demand/supply imbalance. When the price crosses the boundaries of the Noise Area, it suggests a significant imbalance that may trigger an intraday trend.

Read more about it: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4824172

How the Indicator is Calculated

The bands at time HH:MM are computed by taking the open price t and then adding/subtracting the average absolute move over the last n days from market open to minute HH:MM. The bands are also adjusted to account for overnight gaps. A volatility multiplier can be used to increase/decrease the width of the bands, similar to other well-known technical bands. The bands described in the paper were computed using a lookback period (length) of 14 days and a Volatility Multiplier of 1. Users can easily adjust these settings.

How to Read the Indicator

1. Upper and Lower Bands

   • These lines represent a volatility envelope around the opening-range pivot.

   • When price closes above the upper band, it suggests a strong bullish breakout.

   • When price closes below the lower band, it suggests a strong bearish breakout.

2. Opening Range High/Low

   • The high and low of your chosen session appear as separate lines.

   • A close beyond these lines can be an early hint of a breakout before the volatility bands themselves.

3. Buy and Sell Arrows

   • If “Show Signal” is on, green arrows mark buy signals (price broke above upper band and passed any filters).

   • Red arrows mark sell signals (price broke below lower band and passed any filters).

4. EMA and VWAP (Optional)

   • The EMA line helps confirm trend direction—only take buy signals when price is above the EMA, sell signals when below.

   • VWAP shows the average price weighted by volume—useful to gauge if institutions are driving price.

Practical Tips

• Combine with Volume: A band-break on higher volume is more trustworthy.

• Multiple Timeframes: Confirm a breakout on a higher timeframe before trading on a lower one.

• False Breakouts: If price spikes beyond a band but quickly returns, it may be “noise.” Consider waiting for a candle close beyond the band.

• Risk Management: Always set a stop just inside the band on a breakout, since a return inside the band may signal failure.

Key Features

• Dynamic Volatility Calculation

  • Automatically measures how much price typically moves after your defined session, adapting to changing market conditions.

• Opening-Range Framework

  • Focuses on the high-impact early part of the trading day when volatility and volume tend to be highest.

• Customizable Filters

  • EMA and VWAP options let you tailor signals to trending or mean-reversion strategies.

• Visual Clarity

  • Clear band lines, shaded “noise” area, and optional arrows make signals easy to see at a glance—even for non-technical users.

• Flexible Timing

  • Use any session times (e.g. London open, New York open, Asian session) and any chart timeframe.

• Extend or Limit Bands

  • Decide whether bands should only apply during the session or project forward into later trading.

This is not financial advice! This is a real-time indicator and does not repaint.