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Views:: 5096
Rating:: (14)
Published:: 2018.09.27 16:13

Volatility_Arbitrage.mq5 (17.93 KB) view

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The Volatility Arbitrage oscillator displays the price rate of change chart and the corridor of the standard deviation of the rate.
Breakdown of the corridor edges indicates an increase in volatility.

There are four input parameters:

ROC period - period for calculating the price rate of change
Deviation period - deviation calculation period
Deviation multiplier - the width of the deviation channel
Applied price

Calculation:

ROC = 100.0*(Applied price / Applied price[ROC period] - 1.0)
Top = Dev * Deviation multiplier
Bottom =-Top

where:

Dev = StdDev(ROC, Deviation period, MODE_SMA)

Translated from Russian by MetaQuotes Ltd.
Original code: https://www.mql5.com/ru/code/21857

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Volatility_Arbitrage - indicator for MetaTrader 5