Historical Volatility Ratio
Historical Volatility Ratio(HVR) is an indicator, which shows volatility change relative to the previous periods in the chart. The StdDev indicator is used to calculate the values.
To calculate the ratio at each bar, the natural logarithm is calculated by the following formula:
lr(t) = ln(Close(t)/Close(t-1))
Then the obtained values are used when calculating the short and long StdDev indicators. The final ratio is calculated by the formula:
HVR(t) = StdDevShort(lr(t))/StdDevLong(lr(t))
The indicator view in the chart:
The indicator has the following parameters:
Short Period - set the StdDev indicator short period.
Long Period - set the StdDev indicator long period.
Panel - selection of the indicator location in the chart:
- New panel
Show value - display of the indicator value on the price scale on the left.
Scale/Auto-scaling - if this option is on, the scale will be automatically calculated, based on the minimum and maximum indicator values, so that the indicator would fit in the chart.
Color - color setting of the indicator.
Visual type - visual setting of the indicator display in the chart:
- Up arrow
- Down arrow
- Axis label
Line style - setting of the line display style:
- Dash - dot
- Dash - dot - dot
Width - setting of the indicator line width.
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