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lib/volatility/rsv/Rsv.md
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| **PineScript** | [rsv.pine](rsv.pine) |
- Rogers-Satchell Volatility (RSV) is a drift-adjusted OHLC-based volatility estimator that uses all four price points (Open, High, Low, Close) to pr...
- Parameterized by `period` (default 20), `annualize` (default true), `annualperiods` (default 252).
- Output range: $\geq 0$.
- Requires `period` bars of warmup before first valid output (IsHot = true).
- **Similar:** [HV](../hv/hv.md) | **Complementary:** Options pricing | **Trading note:** Rogers-Satchell volatility; handles drift without bias.
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
Rogers-Satchell Volatility (RSV) is a drift-adjusted OHLC-based volatility estimator that uses all four price points (Open, High, Low, Close) to provide more accurate volatility estimates than simpler range-based methods. Developed by L.C.G. Rogers and S.E. Satchell in 1991, this estimator is unique in its ability to account for price drift, making it particularly suitable for trending markets. The implementation uses SMA smoothing and optional annualization.
@@ -352,4 +350,4 @@ rsVariance = Math.FusedMultiplyAdd(lnHO, lnHC, lnLO * lnLC);
- Parkinson, M. (1980). "The Extreme Value Method for Estimating the Variance of the Rate of Return." *Journal of Business*, 53(1), 61-65.
- Garman, M. B., & Klass, M. J. (1980). "On the Estimation of Security Price Volatilities from Historical Data." *Journal of Business*, 53(1), 67-78.
- Yang, D., & Zhang, Q. (2000). "Drift-Independent Volatility Estimation Based on High, Low, Open, and Close Prices." *Journal of Business*, 73(3), 477-492.
- Alizadeh, S., Brandt, M. W., & Diebold, F. X. (2002). "Range-Based Estimation of Stochastic Volatility Models." *Journal of Finance*, 57(3), 1047-1091.
- Alizadeh, S., Brandt, M. W., & Diebold, F. X. (2002). "Range-Based Estimation of Stochastic Volatility Models." *Journal of Finance*, 57(3), 1047-1091.