Download MetaTrader 5

Watch how to download trading robots for free

Interesting script?
So post a link to it -
let others appraise it

You liked the script? Try it in the MetaTrader 5 terminal

2012.02.14 07:58

Change Of Volatility - indicator for MetaTrader 5

| English Русский 中文 Español Deutsch 日本語 Português

Published by:
Nikolay Kositsin
votes: 12

Real author:


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:


where k is the period of volatility change.

The indicator uses SmoothAlgorithms.mqh library classes (must be copied to the terminal_data_folder\MQL5\Include). The use of the classes was thoroughly described in the article "Averaging Price Series for Intermediate Calculations Without Using Additional Buffers".

This indicator was first implemented in MQL4 and published in Code Base 03.02.2008.

Change Of Volatility indicator

Translated from Russian by MetaQuotes Software Corp.
Original code:

Fx10 Fx10

The semaphore signal indicator with the values based on five technical indicators: LWMA, SMA, RSI, Stochastic, MACD.

TrendTriggerMod TrendTriggerMod

The indicator displays trend power and direction.

MBKAsctrend3 MBKAsctrend3

Typical semaphore signal indicator that shows market entry points using color arrows.

FlatTrend2 FlatTrend2

The simplest signal indicator for specifying trend power and direction.