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Indicator of Volatility Change - indicator for MetaTrader 4
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- 19861
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- Published:
- 2008.02.03 09:37
- Updated:
- 2014.04.21 14:52
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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 volatility Vol_long.
Standard deviation here is not that from a difference of closing prices, but from logarithms of the correlation of the current day closing price and closing price of a previous day: Mom[i]=Close[i]/Close[i+1].
Vol_k=Std(Mom,k),
where k is the period of volatility change.
Vol_change=Vol_short/Vol_long |
---|
Standard deviation here is not that from a difference of closing prices, but from logarithms of the correlation of the current day closing price and closing price of a previous day: Mom[i]=Close[i]/Close[i+1].
Vol_k=Std(Mom,k),
where k is the period of volatility change.
Translated from Russian by MetaQuotes Ltd.
Original code: https://www.mql5.com/ru/code/7634
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