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36 lines
1.8 KiB
Plaintext
36 lines
1.8 KiB
Plaintext
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// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Parkinson Volatility (PV)", "PV", overlay=false)
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//@function Calculates Parkinson Volatility.
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//@param length The lookback period for the RMA smoothing of squared log returns (High/Low). Default is 20.
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//@param annualize Boolean to indicate if the volatility should be annualized. Default is true.
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//@param annualPeriods Number of periods in a year for annualization. Default is 252 for daily data.
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//@returns float The Parkinson Volatility value.
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pv(simple int length, simple bool annualize = true, simple int annualPeriods = 252) =>
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if length <= 0
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runtime.error("Length must be greater than 0")
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if annualize and annualPeriods <= 0
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runtime.error("Annual periods must be greater than 0 if annualizing")
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float parkinson_hl_term = high == low ? 0.0 : math.log(high / low)
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float parkinson_hl_sq = parkinson_hl_term * parkinson_hl_term
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float smoothed_parkinson_hl_sq = ta.rma(parkinson_hl_sq, length)
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float volatility_period = math.sqrt(smoothed_parkinson_hl_sq / (4 * math.log(2)))
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float final_volatility = volatility_period
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if annualize and not na(final_volatility)
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final_volatility := final_volatility * math.sqrt(float(annualPeriods))
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final_volatility
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// ---------- Main loop ----------
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// Inputs
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i_length_pv = input.int(20, "Length", minval=1, tooltip="Lookback period for RMA smoothing of High/Low squared log returns.")
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i_annualize_pv = input.bool(true, "Annualize Volatility", tooltip="Annualize the Parkinson Volatility output.")
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i_annualPeriods_pv = input.int(252, "Annual Periods", minval=1, tooltip="Number of periods in a year for annualization (e.g., 252 for daily, 52 for weekly).")
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// Calculation
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pvValue = pv(i_length_pv, i_annualize_pv, i_annualPeriods_pv)
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// Plot
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plot(pvValue, "PV", color=color.yellow, linewidth=2)
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