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Miha Kralj
35a6702b06
Deep review of all indicator categories verified .md headers against .cs WarmupPeriod, parameters, inputs, and outputs. Fixes include warmup corrections, parameter documentation, output type accuracy, and Pine Script alignment.
39 lines
1.9 KiB
Plaintext
39 lines
1.9 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
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// © mihakralj
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//@version=6
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indicator("Rogers-Satchell Volatility (RSV)", "RSV", overlay=false)
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//@function Calculates Rogers-Satchell Volatility.
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//@param length The lookback period for the SMA smoothing of the Rogers-Satchell variance. 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 Rogers-Satchell Volatility value.
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rsv(simple int length, simple bool annualize = true, simple int annualPeriods = 252) =>
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float h = math.max(high, 0.0000001)
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float l = math.max(low, 0.0000001)
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float o = math.max(open, 0.0000001)
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float c = math.max(close, 0.0000001)
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float term1 = math.log(h / o)
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float term2 = math.log(h / c)
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float term3 = math.log(l / o)
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float term4 = math.log(l / c)
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float rs_variance_period = (term1 * term2) + (term3 * term4)
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float smoothed_rs_variance = ta.sma(rs_variance_period, length)
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float volatility_period = math.sqrt(math.max(0.0, smoothed_rs_variance))
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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_rsv = input.int(20, "Length", minval=1, tooltip="Lookback period for SMA smoothing of Rogers-Satchell variance.")
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i_annualize_rsv = input.bool(true, "Annualize Volatility", tooltip="Annualize the Rogers-Satchell Volatility output.")
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i_annualPeriods_rsv = 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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rsvValue = rsv(i_length_rsv, i_annualize_rsv, i_annualPeriods_rsv)
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// Plot
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plot(rsvValue, "RSV", color=color.yellow, linewidth=2)
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