This indicator measure the historical skew of actual volatility for an individual security. It measure the volatility of up moves versus down moves over the period and gives a ratio. When the indicator is greater than one, it indicators that volatility is greater to the upside, when it is below 1 it indicates that volatility is skewed to the downside.
This is not comparable to the SKEW index, since that measures the implied volatility across option strikes, rather than using historical volatility.
Hello Sir, I love this indicator, I'm trying to replicate into python code, do you have some source formula?
Koalafied_3
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Very nice, finding it good to use with Historical volatility as this implies direction. Original idea?
UnknownUnicorn2955934
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This is great! Would it be difficult to normalize this between +/-1?
jwammo12
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@stluvin, It wouldn't be difficult, you could subtract by one to center it on zero. I wouldn't manipulate the data any more than that, but you technically could percentrank it then subtract by 50, etc. to center and normalize it.