In essence, this is an advanced version of the Bollinger Bands
Specifically, in this indicator I have studied the movement of the price for a certain number of bars (BarsCount = 200). For this purpose, the MA with a period of 1 was used (MAPeriod). For that matter, any MA and any number of bars could have been used for analysis. As a result, two channels will be plotted. One displays the limits where the price ranges 68% of the time for the specified number of bars. The other shows the limits where the price ranges 95% of the time for the specified number of bars.
The Sigma Bands with the default parameters is almost identical to the Bollinger Bands with the same period, equal to BarsCount. But this version has the ability to plot Bollinger Bands not only with any period by changing the BarsCount,but also to plot is based on the selected MA type with any period.
Supported MA types:
Prices that can be used for plotting the channel:
The maximum price for the period (High)
The minimum price for the period (Low)
Median price (high + low)/2,
Typical price (high + low + close)/3
Weighted close price (high + low + close + close)/4
All these settings are not available for the standard Bollinger Bands.
By learning how to determine the limits where any indicator or price ranges most of the time, I eneded up with making an example of calculating the standard deviation and Sigma implemented as this indicator. Its formulas can now be adapted for any indicator you like. Sometimes, interesting results can be obtained for indicators that are plotted in separate windows, for example, the RSI, TVI or others.