Positive Volatility Ratio (Vol+ / Vol-)

Positive Volatility Ratio (Vol+ / Vol-)


This indicator measures whether an asset’s volatility is driven mainly
by upward or downward price movements over a given time window.

How it works:
- Daily returns are calculated.
- Positive and negative returns are separated.
- The standard deviation of each group is computed.
- The Vol+ / Vol- ratio compares how much volatility comes from
upward moves versus downward moves.

Interpretation:
- Ratio > 1 → volatility dominated by upside moves (cleaner momentum).
- Ratio ≈ 1 → symmetric movement / noise.
- Ratio < 1 → volatility dominated by downside moves (not ideal for momentum).

Recommended use:
- Use as a pre-filter for the trading universe.
- Do not use as an entry or exit signal.
- Always combine with trend and liquidity filters.

Notes:
- This is not a standard or predictive indicator.
- It does not replace risk management or stop-loss rules.
- Longer lookback windows (60–120 days) tend to be more robust.
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