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Published:

2018.10.17 17:05

Simple volatility.mq5 (11.14 KB) view

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In a lot of cases we need some way to measure the volatility

Among the other ways, here is one simple way : it is a ratio of (sum of price differences) to average of (sum of price differences). As simple as it gets, it seems to be detecting the market volatility in acceptable way. As a point of reference :

values above 1 are periods of increased volatility
values bellow 1 are periods of decreased volatility

As it can be seen it detects the volatility change OK even in a "thin" market (when the average difference is small and when even a small change is and should be treated as significant volatility change)

Ehlers Fisher transform

Ehleres Fisher transform

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Volatility adjusted WPR

Volatility adjusted WPR (Williams Percent Range)

Simple volatility - indicator for MetaTrader 5