OPEN-SOURCE SCRIPT
Realized Volatility
Updated
Realized / Historical Volatility
Calculates historical, i.e. realized volatility of any underlying. If frequency is not the daily, but for example 6h, 30min, weeks or months, it scales the initial setting to be suitable for the different time frame.
Examples with default settings (30 day volatility, 365 days per year):
A) Frequency = Daily:
Returns 30 day historical volatility, under the assumption that there are 365 trading days in a year.
B) Frequency = 6h:
Still returns 30 day historical volatility, under the assumption that there are 365 trading days in a year. However, since 6h granularity fits 4 times in 24 hours, it rescales the look back period to rather 30*4 = 120 units to still reflect 30 day historical volatility.
Calculates historical, i.e. realized volatility of any underlying. If frequency is not the daily, but for example 6h, 30min, weeks or months, it scales the initial setting to be suitable for the different time frame.
Examples with default settings (30 day volatility, 365 days per year):
A) Frequency = Daily:
Returns 30 day historical volatility, under the assumption that there are 365 trading days in a year.
B) Frequency = 6h:
Still returns 30 day historical volatility, under the assumption that there are 365 trading days in a year. However, since 6h granularity fits 4 times in 24 hours, it rescales the look back period to rather 30*4 = 120 units to still reflect 30 day historical volatility.
Release Notes
- there is originally by TradingView a mean adjustment in the stdev function (normal mean adjusted std deviation), now we use absolute variance- now it is possible to use EWMA vol, which introduces a decay factor, this reduces the weight of price jumps in the past
Release Notes
Changed color and chartRelease Notes
Implemented multiple design and default changes. In particular now it selects basis = 365 automatically if the underlying is "crypto" and else uses a basis of 255. Please let me know if you want any other changes.Release Notes
Minor bugfixRelease Notes
Changed default plot and added a tooltop.Open-source script
In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in publication is governed by House rules. You can favorite it to use it on a chart.
Disclaimer
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