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https://github.com/mihakralj/QuanTAlib.git
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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>
66 lines
2.7 KiB
Plaintext
66 lines
2.7 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=5
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indicator("Volatility of Volatility (VOV)", shorttitle="VOV", format=format.price, precision=4, overlay=false)
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//@function Calculates the Volatility of Volatility (VOV) with embedded rolling standard deviation algorithms.
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//@param src The source series. Default is `close`.
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//@param volatilityPeriod The lookback period for the initial volatility calculation. Default is 20.
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//@param vovPeriod The lookback period for calculating the standard deviation of the volatility series. Default is 10.
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//@returns float The VOV value.
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vov(series float src, int volatilityPeriod, int vovPeriod) =>
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if volatilityPeriod <= 0 or vovPeriod <= 0
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runtime.error("Periods must be greater than 0")
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var int p1 = 0
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var array<float> buffer1 = array.new_float(0)
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var int head1 = 0, var int count1 = 0
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var float sum1 = 0.0, var float sumSq1 = 0.0
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if p1 != volatilityPeriod
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p1 := math.max(1, volatilityPeriod)
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buffer1 := array.new_float(p1, na)
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head1 := 0, count1 := 0, sum1 := 0.0, sumSq1 := 0.0
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float oldest1 = array.get(buffer1, head1)
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if not na(oldest1)
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sum1 -= oldest1
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sumSq1 -= oldest1 * oldest1
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count1 := count1 == p1 ? count1 - 1 : count1
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float val1 = nz(src)
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sum1 += val1
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sumSq1 += val1 * val1
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count1 := count1 < p1 ? count1 + 1 : count1
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array.set(buffer1, head1, val1)
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head1 := (head1 + 1) % p1
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float initialVolatility = count1 > 1 ? math.sqrt(math.max(0.0, (sumSq1 / count1) - math.pow(sum1 / count1, 2))) : 0.0
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var int p2 = 0
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var array<float> buffer2 = array.new_float(0)
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var int head2 = 0, var int count2 = 0
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var float sum2 = 0.0, var float sumSq2 = 0.0
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if p2 != vovPeriod
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p2 := math.max(1, vovPeriod)
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buffer2 := array.new_float(p2, na)
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head2 := 0, count2 := 0, sum2 := 0.0, sumSq2 := 0.0
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float oldest2 = array.get(buffer2, head2)
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if not na(oldest2)
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sum2 -= oldest2
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sumSq2 -= oldest2 * oldest2
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count2 := count2 == p2 ? count2 - 1 : count2
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float val2 = nz(initialVolatility)
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sum2 += val2
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sumSq2 += val2 * val2
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count2 := count2 < p2 ? count2 + 1 : count2
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array.set(buffer2, head2, val2)
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head2 := (head2 + 1) % p2
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float vovValue = count2 > 1 ? math.sqrt(math.max(0.0, (sumSq2 / count2) - math.pow(sum2 / count2, 2))) : 0.0
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vovValue
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// Inputs
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i_src = input.source(close, "Source")
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i_volatilityPeriod = input.int(20, "Volatility Period", minval=1, tooltip="Period for initial volatility calculation.")
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i_vovPeriod = input.int(10, "VOV Period", minval=1, tooltip="Period for StDev of the volatility series.")
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// Calculation
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vovValue = vov(i_src, i_volatilityPeriod, i_vovPeriod)
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// Plot
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plot(vovValue, "VOV", color=color.yellow, linewidth=2)
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