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Miha Kralj
86fe32a682
Co-authored-by: Claude Opus 4.5 <noreply@anthropic.com> Co-authored-by: aider (openrouter/anthropic/claude-sonnet-4) <aider@aider.chat> Co-authored-by: Warp <agent@warp.dev>
43 lines
2.1 KiB
Plaintext
43 lines
2.1 KiB
Plaintext
// The MIT License (MIT)
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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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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 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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