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From time to time, traders are faced with the task of determining price volatility. This volatility can be measured in a variety of ways. This indicator employs an approach similar to the Winsorisation of a time series. All price values are sorted, after which the rates of change between the sorted values are calculated. A high result corresponds to high volatility.

A major drawback of this indicator is its insensitivity to the direction of price movement. However, it can be modified by taking the time component into account in the price values.


Translated from Russian by MetaQuotes Ltd.
Original code: https://www.mql5.com/ru/code/77231

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