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Miha Kralj
33d20f2a18
Complete thin Dx-composition wrapper indicators with full test coverage: - PlusDi/MinusDi: Directional Indicator wrappers (DiPlus/DiMinus from Dx) - PlusDm/MinusDm: Directional Movement wrappers (DmPlus/DmMinus from Dx) - Individual validation tests per indicator directory (TALib, Skender, bounds) - Combined unit tests (DiDm.Tests.cs) and validation tests (DiDm.Validation.Tests.cs) - Quantower wrappers + tests for all 4 indicators - PineScript v6 implementations with compensated RMA - Normalized .md documentation for all indicators and categories - 182 tests passing, 0 failures
2.7 KiB
2.7 KiB
Volatility
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?".
| Indicator | Full Name | Description |
|---|---|---|
| ADR | Average Daily Range | Simple High-Low range without gap adjustment. |
| ATR | Average True Range | Standard volatility measure accounting for gaps via True Range. |
| ATRN | ATR Normalized | ATR normalized to [0,1] based on historical min/max. |
| BBW | Bollinger Band Width | Distance between upper and lower Bollinger Bands. |
| BBWN | BB Width Normalized | BBW normalized to [0,1] range. |
| BBWP | BB Width Percentile | BBW percentile rank over lookback. |
| CCV | Close-to-Close Volatility | Annualized volatility from log returns. |
| CV | Conditional Volatility | GARCH(1,1) model for time-varying volatility. |
| CVI | Chaikin Volatility | Rate of change in smoothed High-Low range. |
| ETHERM | Elder's Thermometer | Absolute bar range in ATR units. Identifies abnormal activity. |
| EWMA | EWMA Volatility | Exponentially weighted squared returns with bias correction. |
| GKV | Garman-Klass Volatility | Efficient OHLC-based estimator with RMA smoothing. |
| HLV | High-Low Volatility (Parkinson) | Range-based volatility using only high-low prices. |
| HV | Historical Volatility (Close-to-Close) | Standard deviation of log returns with rolling window. |
| JVOLTY | Jurik Volatility | Adaptive volatility from JMA with 128-bar trimmed mean distribution. |
| JVOLTYN | Jurik Volatility Normalized | JVOLTY normalized to [0,100] scale. |
| MASSI | Mass Index | Range expansion/contraction for reversal detection. |
| NATR | Normalized ATR | ATR as percentage of close price. Also known as ATRP. |
| RSV | Rogers-Satchell Volatility | OHLC estimator with drift adjustment. |
| RV | Realized Volatility | High-frequency intraday volatility. |
| RVI | Relative Volatility Index | Directional volatility measure. |
| TR | True Range | Single-bar volatility with gap capture. |
| UI | Ulcer Index | Downside risk and drawdown depth/duration. |
| VOV | Volatility of Volatility | Second derivative: how fast volatility changes. |
| VR | Volatility Ratio | Current TR relative to average TR. |
| YZV | Yang-Zhang Volatility | OHLC plus overnight gap estimator. |