This is a documented version of the Bridge Bands indicator published by @calebsandfort under the Mozilla Public License. My 'enhancement' here is simply to add documentation to the code to assist new users in their understanding.
Bridge Bands are an implementation of the work done by Joe Catanzaro (joecat808) to produce a risk range for a security. The basic idea is to calculate Mandelbrot's "Bridge Range". (Pg. 179 of Misbehavior of Markets) It then calculates Bollinger Bands. Then next step is to calculate the Hurst Exponent. The last step is to merge the Bridge Range and the...
This script produces a band range that uses a stochastic volatility process to come up with maximum and minimum price ranges over the specified period (using the length variable). The sample used to predict volatility can be modified using the VolLength parameter, and the extremes can be modified using the VolInflator parameter. For example, a VolLength of 30...
This indictor creates daily Risk Ranges using historical volatility, volatility skew and vol-of-vol.