There are a lot of ways to measure volatility (changeability). One of them is calculation of the standard deviation of returns for a certain period of time. Sometimes the current volatility on a short period of time (for example, 6 days) is correlated with volatility of a larger period (for example 100 days). This indicator calculates the correlation of a short volatility Vol_short and a long volatilityVol_long. Vol_change=Vol_short/Vol_long
Vol_k=Std(Mom,k),
where k is the period of volatility change.
(description from the author)
Indicator of volatility converted following a request in the indicators forum section.
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//PRC_Change of Volatility | indicator //05.08.2020 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge //converted from MT4 //https://www.prorealcode.com/topic/conversion-of-indicator-change-of-volatility-from-mt4/ // --- settings Short = 6 Long = 100 SigMA = 15 SigMAMode = 2 //0 = SMA 1 = EMA 2 = WMA 3 = Wilder 4 = Triangular 5 = End point 6 = Time series 7 = Hull (PRT v11 only) 8 = ZeroLag (PRT v11 only) // --- end of settings Moment=Momentum[1](close)/100 HVBuffer=std[Short](Moment)/std[Long](Moment) Ma = average[SigMA,SigMAMode](HVBuffer) return HVBuffer coloured(255,0,0) style(histogram), Ma coloured(255,255,0) style(line,1) |
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