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75 lines
4.3 KiB
Markdown
75 lines
4.3 KiB
Markdown
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# Volatility Indicators
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> "Volatility is the price of admission. The question is whether the ride is worth it."
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Volatility measures the magnitude of price changes, independent of direction. Low volatility indicates consolidation and coiling energy; high volatility indicates explosive movement and trend development. These indicators answer "how much?" and "how fast?", not "which way?".
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Core volatility concepts:
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- **Range-Based**: High minus Low, with or without gap adjustment (TR, ATR)
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- **Return-Based**: Standard deviation of log returns (HV, EWMA)
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- **Estimator-Based**: Statistical models using OHLC combinations (Garman-Klass, Yang-Zhang)
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- **Normalized**: Percentage or [0,1] scaled for cross-asset comparison (ATRP, ATRN)
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## Implementation Status
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| Indicator | Full Name | Status | Description |
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| :--- | :--- | :---: | :--- |
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| [ADR](adr/Adr.md) | Average Daily Range | ✅ | Simple High-Low range without gap adjustment |
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| [ATR](atr/Atr.md) | Average True Range | ✅ | Standard volatility measure accounting for gaps via True Range |
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| [ATRN](atrn/Atrn.md) | ATR Normalized | ✅ | ATR normalized to [0,1] based on historical min/max |
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| [ATRP](atrp/Atrp.md) | ATR Percent | ✅ | ATR as percentage of close price |
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| BBW | Bollinger Band Width | 📋 | Distance between upper and lower Bollinger Bands |
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| BBWN | BB Width Normalized | 📋 | BBW normalized to [0,1] range |
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| BBWP | BB Width Percentile | 📋 | BBW percentile rank over lookback |
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| CCV | Close-to-Close Volatility | 📋 | Annualized volatility from log returns |
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| CV | Conditional Volatility | 📋 | GARCH(1,1) model for time-varying volatility |
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| CVI | Chaikin Volatility | 📋 | Rate of change in smoothed High-Low range |
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| EWMA | EWMA Volatility | 📋 | Exponentially weighted squared returns |
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| GKV | Garman-Klass Volatility | 📋 | Efficient OHLC-based estimator |
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| HLV | High-Low Volatility | 📋 | Range-based volatility without close |
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| HV | Historical Volatility | 📋 | Standard deviation of returns |
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| JVOLTY | Jurik Volatility | 📋 | Low-lag, smooth Jurik volatility |
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| JVOLTYN | Jurik Volatility Normalized | 📋 | JVOLTY normalized to [0,1] |
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| MASSI | Mass Index | 📋 | Range expansion/contraction for reversal detection |
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| NATR | Normalized ATR | 📋 | ATR as percentage (equivalent to ATRP) |
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| PV | Parkinson Volatility | 📋 | High-Low estimator assuming no drift |
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| RSV | Rogers-Satchell Volatility | 📋 | OHLC estimator with drift adjustment |
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| RV | Realized Volatility | 📋 | High-frequency intraday volatility |
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| RVI | Relative Volatility Index | 📋 | Directional volatility measure |
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| TR | True Range | 📋 | Single-bar volatility with gap capture |
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| UI | Ulcer Index | 📋 | Downside risk and drawdown depth/duration |
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| VOV | Volatility of Volatility | 📋 | Second derivative: how fast volatility changes |
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| VR | Volatility Ratio | 📋 | Current TR relative to average TR |
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| YZV | Yang-Zhang Volatility | 📋 | OHLC plus overnight gap estimator |
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**Legend**: ✅ Implemented | 📋 Planned
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## Indicator Selection Guide
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| Use Case | Recommended | Rationale |
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| :--- | :--- | :--- |
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| Position Sizing | ATR, ATRP | Standard for risk-based sizing |
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| Stop Loss Distance | ATR | Absolute measure in price units |
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| Cross-Asset Comparison | ATRP, ATRN | Normalized for different price scales |
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| Regime Detection | ATRN | [0,1] scale with clear thresholds |
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| Intraday Analysis | ADR | Gaps irrelevant for same-session |
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| Gap-Sensitive Analysis | ATR | True Range captures overnight gaps |
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## Volatility Regime Interpretation
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| ATRN Range | ATRP Typical | Regime | Implications |
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| :---: | :---: | :--- | :--- |
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| 0.8 - 1.0 | > 5% | Crisis/Extreme | Widen stops, reduce size, expect whipsaws |
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| 0.5 - 0.8 | 2-5% | Elevated | Trending conditions, standard trend-following |
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| 0.2 - 0.5 | 1-2% | Normal | Balanced conditions, mixed strategies |
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| 0.0 - 0.2 | < 1% | Compressed | Consolidation, mean-reversion, breakout setups |
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## ATR Family Comparison
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| Indicator | Output | Use Case |
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| :--- | :--- | :--- |
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| ATR | Absolute price units | Stop distance, position sizing in same asset |
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| ATRP | Percentage (0-100%) | Cross-asset comparison, percentage-based sizing |
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| ATRN | Normalized [0,1] | Regime detection, volatility ranking |
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| ADR | Absolute price units | Intraday analysis, gap-insensitive |
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