This indicator used to calculate the statistical volatility, sometime
called historical volatility, based on the Extreme Value Method.
Please use this link to get more information about Volatility.
called historical volatility, based on the Extreme Value Method.
Please use this link to get more information about Volatility.
//////////////////////////////////////////////////////////// // Copyright by HPotter v1.0 29/05/2014 // This indicator used to calculate the statistical volatility, sometime // called historical volatility, based on the Extreme Value Method. // Please use this link to get more information about Volatility. //////////////////////////////////////////////////////////// study(title="Statistical Volatility - Extreme Value Method ", shorttitle="Statistical Volatility") Length = input(30, minval=1) xMaxC = highest(close, Length) xMaxH = highest(high, Length) xMinC = lowest(close, Length) xMinL = lowest(low, Length) SqrTime = sqrt(253 / Length) Vol = ((0.6 * log(xMaxC / xMinC) * SqrTime) + (0.6 * log(xMaxH / xMinL) * SqrTime)) * 0.5 nRes = iff(Vol < 0, 0, iff(Vol > 2.99, 2.99, Vol)) plot(nRes, color=blue, title="Statistical Volatility")
