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QuaScript

Cornish-Fisher Risk Bands

Admin's Choice NewFree

Fat-tail-aware 95 / 99 % VaR bands with tail heat

WebGPU StudioPrice overlay WebGPU CanvasHybridDashboardSignalsAlerts
quascriptgpuwebgpuvarriskfat-tails

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Language
QuaScript
Engine
Native C++, incremental on live ticks
Rendering
WebGPU + Canvas
Placement
Price overlay
Settings
2
Plots
6
Lines of code
56
Source
presets/analysis/gpu/cornish_fisher_risk_bands.qs
Cornish-Fisher Risk Bandsengine result
Loading the engine result…
quatick-charts · QuaScript engine on synthetic 1-minute bars · drag to pan · scroll to zoom · Run executes the script on the engine (⌘/Ctrl+Enter while editing)

About

Value-at-risk bands that respect fat tails and skew. The 95 % and 99 % quantiles of the next bar's return are expanded with the Cornish-Fisher correction for the rolling skewness and excess kurtosis, then turned into price levels around the previous close. The outer bands take their colour from tail heaviness, bar by bar, so heavier tails glow hotter. Reading: the gap between the 95 % and 99 % bands is the tail risk a normal model misses; place stops beyond the 99 % band and size positions from the 95 % distance. Asymmetric bands show skew (a longer lower band = crash risk). Signals: tail breaches. Method: Cornish and Fisher (1938), Zangari (1996) modified VaR.

6
Plotted series
2
Signal marks
1
Drawings
1
Alert rules
2
Settings
46
Lines of code

What it draws

Price overlay · counted from the engine's plot table and the script's draw calls

Series

  • Line4 visible · 2 helper
  • Band fills (render.band calls)3

Signal marks

Upper tail breachLower tail breach

Drawings and chart effects

  • Dashboard tables1 created

How it runs

From source to the live chart, for this script

  1. 1
    Compile

    The QuaScript compiler checks the 56-line script (46 lines of code) and lowers it for the native C++ engine. Compile errors point at the exact line and column.

  2. 2
    Place

    The header sets overlay = true, so everything is drawn on the price chart, on the same scale as the candles.

  3. 3
    Compute

    The script runs once per bar, oldest to newest. 1 persist variable keeps state (objects, counters) across bars. Helper function: cf().

  4. 4
    Stay live

    On the terminal the script keeps one live engine session: a tick rolls the forming bar back to its checkpoint and re-executes only that bar, and new bars are appended, so history is never rerun while the market moves. The live result is identical to a full run.

  5. 5
    Render

    The results are handed to the chart: series on WebGPU, drawings on the Canvas 2D QuaScript layer.

  6. 6
    Tune

    2 settings in 1 group appear in the chart's settings dialog. Changing one reruns the engine with the new value.

Rendering

Hybrid: this script draws on 2 surfaces at once

WebGPUSeries renderer

The browser's modern GPU API. The chart uploads every line, band and mark of the script as GPU buffers and draws them in one pass, so dense heatmaps and dozens of series stay smooth while you pan and zoom. Without WebGPU support the chart's GPU layer falls back to WebGL 2, then Canvas 2D.

In this script
  • • 6 plotted series
  • • 3 band fill calls
  • • 2 signal mark types

Chosen by render = webgpu in the header.

WebGLNot used

GPU drawing through WebGL 2, available in every current browser. Used for chart-native profiles and for series that ask for it with backend = "webgl". Fast for large numbers of bars and wide fills.

CanvasUsed

The browser's 2D drawing API. Text-heavy and object-style output (dashboard tables, zones, tags, segments), candle colors and backgrounds are painted by the QuaScript layer, a Canvas 2D surface over the chart. Series use Canvas when the script's header does not ask for a GPU.

In this script
  • • 1 dashboard tables (QuaScript layer)

Alerts

1 alert rule declared with alert.rule

Tail breach

Price traded beyond the 99 % Cornish-Fisher band

Settings

2 settings, grouped as in the chart's settings dialog

Distribution
SettingTypeDefaultRange / optionsId
Return windowInteger25030 – 3000return_window
Horizon barsInteger11 – 50horizon_bars

Script

packages/quascript/presets/analysis/gpu/cornish_fisher_risk_bands.qs

Header

analysis "Cornish-Fisher Risk Bands" {
    overlay = true
    render = webgpu
    short_title = CFR
}
Total lines
56
Code lines
46
Comment lines
9
Helper functions
1
Loops
0
Persistent variables
1
Higher-interval feeds
0
Engine plots
6

Built with

Technical analysis (ta.*)
ta.sma
Statistics (stat.*)
stat.kurtosisstat.skewstat.stdev
Math (math.*)
math.clampmath.expmath.logmath.sqrt
Imported modules
viz/premium

Discussion

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