Comparing Risk Distributions with Multiple Risk Measures

Summary

This indicator builds a histogram of risk readings collected across a selected portion of chart history. Users can choose among absolute log-return size, ATR as a fraction of price, downside return magnitude, drawdown from a period or rolling high, a volatility-based measure labeled entropy risk, or the VIX. The display groups observations into configurable bins and reports bin counts, probability and cumulative probability, with optional colors based on the distribution’s quartiles. It also exposes the sample size, mean, standard deviation, current reading, quartiles, and a standardized score in the data window.

The tool is for describing the distribution of a selected risk proxy, not for forecasting returns or directly sizing positions. Its estimates depend on the selected measure, chart timeframe, date range, and available observations; the script itself recommends a substantial sample and flags small samples. The label EVaR should be treated cautiously: the implementation shown uses rolling return dispersion in a custom expression, rather than documenting a full expected-value-at-risk procedure. No empirical comparison or trading results are supplied.

Key ideas

• The indicator compares historical readings of a selected risk measure using a configurable histogram.
• Available measures include return volatility, ATR, downside movement, drawdown, a custom entropy-labeled measure, and VIX.
• Quartiles color the bins, while counts and cumulative percentages describe how observations are distributed.
• The reported statistics are descriptive and depend on the measure, timeframe, sample window, and data quantity.
• The EVaR label is not supported by a documented full expected-value-at-risk calculation in the shown implementation.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.