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In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the  standard deviation of logarithmic returns.

Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option).

In 2000 Yang-Zhang created a volatility measure that handles both opening jumps and drift. It is the sum of the overnight volatility (close-to-open volatility) and a weighted average of the Rogers-Satchell volatility and the open-to-close volatility. The assumption of continuous prices does mean the measure tends to slightly underestimate the volatility -  https://www.jstor.org/stable/10.1086/209650?seq=1#metadata_info_tab_contents

For using from within an Expert Adviser, call the indicator with

iCustom(NULL,0,"ZhangHistoricalVolatility",24,0,0);


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