Session Volatility

The Session Volatility indicator scans historical price action to calculate the average price movement during user-defined trading sessions, providing a statistical baseline for expected market volatility.

Usage

The Usage section focuses on identifying how specific markets behave during particular hours of the day. Traders can use this tool to determine the "Average True Range" of a specific session, such as the Asian open, the London-New York overlap, or the first hour of the equity market.

By understanding the typical movement (in pips or price) during these windows, users can better optimize profit targets and stop-loss placements. For example, if the average movement for a session is 50 pips, setting a 100-pip target within that same session may be statistically improbable.

The indicator also highlights the most recent session's high and low prices on the chart, allowing for immediate visual comparison against historical averages.

Details

The script functions by iterating through historical bars that fall within the user-specified start and end dates. Within that range, it monitors the "Time Session" parameter. When the current bar time enters the session, the script tracks the highest high and lowest low. Upon session completion, it calculates the range (High - Low), adds it to a running total, and increments a session counter to derive the final average. For Forex pairs, the script includes a conversion method to translate raw price differences into standard pips.

Settings

Main Settings

• Start Date: Defines the historical point from which the indicator begins its analysis.
• End Date: Defines the point where the analysis stops.
• Time Session To Analyze: The specific time window (e.g., "0930-1600") to be calculated across all days in the date range.
• Color Background?: When enabled, highlights the active session hours on the chart with a background color for easier identification.

FAQ

How do I interpret the values in the top-right box?

The table displays the average price or pip movement calculated across all sessions found between your Start and End dates.

Can I use this for any asset class?

Yes, the script is designed to work with Forex (calculating pips), Stocks, and Crypto (calculating absolute price change).

How can I access this tool?

You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.