QuanTAlib/lib/volatility/_index.md

Volatility Indicators

"Volatility is the price of admission. The question is whether the ride is worth it."

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?".

Core volatility concepts:

• Range-Based: High minus Low, with or without gap adjustment (TR, ATR)
• Return-Based: Standard deviation of log returns (HV, EWMA)
• Estimator-Based: Statistical models using OHLC combinations (Garman-Klass, Yang-Zhang)
• Normalized: Percentage or [0,1] scaled for cross-asset comparison (ATRP, ATRN)

Implementation Status

Indicator	Full Name	Status	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
ATRP	ATR Percent	✅	ATR as percentage of close price
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
EWMA	EWMA Volatility	📋	Exponentially weighted squared returns
GKV	Garman-Klass Volatility	📋	Efficient OHLC-based estimator
HLV	High-Low Volatility	📋	Range-based volatility without close
HV	Historical Volatility	📋	Standard deviation of returns
JVOLTY	Jurik Volatility	📋	Low-lag, smooth Jurik volatility
JVOLTYN	Jurik Volatility Normalized	📋	JVOLTY normalized to [0,1]
MASSI	Mass Index	📋	Range expansion/contraction for reversal detection
NATR	Normalized ATR	📋	ATR as percentage (equivalent to ATRP)
PV	Parkinson Volatility	📋	High-Low estimator assuming no drift
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

Legend: ✅ Implemented | 📋 Planned

Indicator Selection Guide

Use Case	Recommended	Rationale
Position Sizing	ATR, ATRP	Standard for risk-based sizing
Stop Loss Distance	ATR	Absolute measure in price units
Cross-Asset Comparison	ATRP, ATRN	Normalized for different price scales
Regime Detection	ATRN	[0,1] scale with clear thresholds
Intraday Analysis	ADR	Gaps irrelevant for same-session
Gap-Sensitive Analysis	ATR	True Range captures overnight gaps

Volatility Regime Interpretation

ATRN Range	ATRP Typical	Regime	Implications
0.8 - 1.0	> 5%	Crisis/Extreme	Widen stops, reduce size, expect whipsaws
0.5 - 0.8	2-5%	Elevated	Trending conditions, standard trend-following
0.2 - 0.5	1-2%	Normal	Balanced conditions, mixed strategies
0.0 - 0.2	< 1%	Compressed	Consolidation, mean-reversion, breakout setups

ATR Family Comparison

Indicator	Output	Use Case
ATR	Absolute price units	Stop distance, position sizing in same asset
ATRP	Percentage (0-100%)	Cross-asset comparison, percentage-based sizing
ATRN	Normalized [0,1]	Regime detection, volatility ranking
ADR	Absolute price units	Intraday analysis, gap-insensitive