tr_vol

27 thg 7, 2021

This indicator shows the annualized volatility, computed using the ewma method. It also uses average true range (ATR) as the daily return, rather than the typical close-to-close percentage change. You can uncomment the "comparison" series to see how it compares to the standard deviation, daily log return method. The standard deviation method weights all periods equally and doesn't account for intra-day ranges, meaning it is less responsive to new information than the ewma method and doesn't weight large intra-day moves as heavily.

The long-run median is also displayed. This feature sometimes fails if there are too many bars.

27 thg 7, 2021

Phát hành các Ghi chú

I was annualizing incorrectly. Should be fixed now. The script only works on daily for now... may update for different time frames in the future.