INTRODUCTION: Volatility enthusiasts, prepare for VICTORY on this day of July 4th, 2024! This is my "Vast Volatility Treasure Trove," intended mostly for educational purposes, yet these functions will also exhibit versatility when combined with other algorithms to garner statistical excellence. Once again, I am now ripping the lid off of Pandora's box... of...
The goal of this script it to provide you an idea to forecast the future momentum by looking at historical volatility. This chart has basically three parts. 1. Three lines are there. The multi color line represents the historical annualized volatility in terms of minimum look back period . The white line represents the historical annualized volatility in terms...
Mean Absolute Deviation (MAD) is a statistical measure that tells you how spread out or variable a set of data points is. It calculates the average distance of each data point from the mean (average) of the data set. MAD helps you understand how much individual values differ from the average value. It's a way to measure the overall "average distance" of the data...
JFD-Adaptive, GKYZ-Filtered KAMA is a Kaufman Adaptive Moving Average with the option to make it Jurik Fractal Dimension Adaptive. This also includes a Garman-Klass-Yang-Zhang Historical Volatility Filter to reduce noise. What is KAMA? Developed by Perry Kaufman, Kaufman's Adaptive Moving Average ( KAMA ) is a moving average designed to account for market...
Roger & Satchell Estimator Historical Volatility Bands are constructed using: Average as the middle line. Upper and lower bands using theRoger & Satchell Estimator Historical Volatility Bands for bands calculation. What is Roger & Satchell Estimator Historical Volatility? The Rogers–Satchell estimator does not handle opening jumps; therefore, it...
Garman-Klass-Yang-Zhang Historical Volatility Bands are constructed using: Average as the middle line. Upper and lower bands using the Garman-Klass-Yang-Zhang Historical Volatility Bands for bands calculation. What is Garman-Klass-Yang-Zhang Historical Volatility? Yang and Zhang derived an extension to the Garman Klass historical volatility estimator...
Garman & Klass Estimator Historical Volatility Bands are constructed using: Average as the middle line. Upper and lower bands using the Garman & Klass Estimator Historical Volatility (instead of "regular" Historical Volatility ) for bands calculation. What is Garman & Klaus Historical Volatility? Garman Klass is a volatility estimator that incorporates...
High/Low Historical Volatility Bands are constructed using: Average as the middle line. Upper and lower bands using the Historical Volatility high/low (instead of "regular" Historical Volatility) for bands calculation. What is Historical Volatility? Historical Volatility (HV) is a statistical measure of the dispersion of returns for a given security or...
Parkinson's Historical Volatility Bands are constructed using: Average as the middle line. Upper and lower bands using the Parkinson's historical volatility (instead of "regular" Historical Volatility) for bands calculation. What is Parkinson's Historical Volatility? The Parkinson's number, or High Low Range Volatility developed by the physicist, Michael...
Historical Volatility Bands are constructed using: Average as the middle line. Upper and lower bands using the Historical Volatility for bands calculation. What is Historical Volatility? Historical Volatility (HV) is a statistical measure of the dispersion of returns for a given security or market index over a given period of time. Generally, this...
This indicator measures the volatility of an asset based on the price distance from the baseline used in my TDR indicator. IT calculates the average distance the price will move from the baseline and shows a visual representation of that data. If the scatterplot is white, the price is within the average, if it turns yellow, the price is above the average. This can...
█ OVERVIEW This indicator serves to measure the volatility of the price in relation to the average. It serves four purposes: 1. Identify abnormal prices, extremely stretched in relation to an average; 2. Identify acceptable prices in the context of the main trend; 3. Identify market crashes; 4. Identify divergences. █ CONCEPTS The LS Volatility Index ...