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Rating:
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Published:
2018.07.09 10:47
HVR.mq5 (9.91 KB) view
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Oscillator Historical Volatility Ratio is a volatility indicator based on the "yesterday" / "today" price ratio

It has four configurable parameters:

  • First deviation period - first standard deviation calculation period
  • Second deviation period - second standard deviation calculation period
  • Applied price - calculation price
  • Threshold - "low" volatility threshold

Calculation:

HVR = StdDev1 / StdDev2

where:

StdDev1(ST) - standard deviation with the First deviation period

StdDev2(ST) - standard deviation with the Second deviation period

ST = LOG(Price/PrevPrice)

Translated from Russian by MetaQuotes Ltd.
Original code: https://www.mql5.com/ru/code/20981

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