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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>
54 lines
3.1 KiB
Plaintext
54 lines
3.1 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Realized Volatility (RV)", "RV", overlay=false)
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//@function Calculates Realized Volatility using intraday data.
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//@param length The lookback period for smoothing the period volatilities (e.g., daily RVs). Default is 20.
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//@param intradayTimeframe The lower timeframe string (e.g., "1", "5", "60") to sample for returns. Must be a lower timeframe than the chart. Default is "5".
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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 (of the main chart's timeframe) in a year for annualization. Default is 252 (assuming daily chart).
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//@returns float The Realized Volatility value.
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rv(simple int length = 20, simple string intradayTimeframe = "5", 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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intraday_closes_arr = request.security_lower_tf(syminfo.tickerid, intradayTimeframe, close)
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float sum_sq_log_returns = 0.0
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if array.size(intraday_closes_arr) > 1
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for i = 1 to array.size(intraday_closes_arr) - 1
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float prev_close = array.get(intraday_closes_arr, i - 1)
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float curr_close = array.get(intraday_closes_arr, i)
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if not na(prev_close) and not na(curr_close) and prev_close > 0 and curr_close > 0
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float log_return = math.log(curr_close / prev_close)
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sum_sq_log_returns += log_return * log_return
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else
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sum_sq_log_returns := na
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break
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else
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sum_sq_log_returns := 0.0
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float realized_variance_this_period = sum_sq_log_returns
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float volatility_this_period = na
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if not na(realized_variance_this_period)
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if realized_variance_this_period >= 0
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volatility_this_period := math.sqrt(realized_variance_this_period)
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float smoothed_volatility = ta.sma(volatility_this_period, length)
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float final_volatility = smoothed_volatility
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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_rv = input.int(20, "Smoothing Length", minval=1, tooltip="Lookback period for smoothing the period realized volatilities (e.g., daily RVs).")
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i_intraday_tf_rv = input.timeframe("5", "Intraday Timeframe", tooltip="Lower timeframe for calculating intraday returns (e.g., \"1\", \"5\", \"60\"). Must be a lower timeframe than the chart.")
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i_annualize_rv = input.bool(true, "Annualize Volatility", tooltip="Annualize the Realized Volatility output.")
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i_annualPeriods_rv = input.int(252, "Annual Periods", minval=1, tooltip="Number of main chart periods in a year for annualization (e.g., 252 for Daily chart, 52 for Weekly).")
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// Calculation
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rvValue = rv(i_length_rv, i_intraday_tf_rv, i_annualize_rv, i_annualPeriods_rv)
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// Plot
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plot(rvValue, "RV", color=color.yellow, linewidth=2)
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