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Miha Kralj
36 lines
2.4 KiB
Markdown
36 lines
2.4 KiB
Markdown
# Volatility
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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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| Indicator | Full Name | Description |
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| :--- | :--- | :--- |
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| [ADR](lib/volatility/adr/Adr.md) | Average Daily Range | Simple High-Low range without gap adjustment. |
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| [ATR](lib/volatility/atr/Atr.md) | Average True Range | Standard volatility measure accounting for gaps via True Range. |
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| [ATRN](lib/volatility/atrn/Atrn.md) | ATR Normalized | ATR normalized to [0,1] based on historical min/max. |
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| [ATRP](lib/volatility/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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