Relative Historical Volatility MCM

Relative Historical Volatility

Historical Volatility is relative to it's doubled lookback period of the historical volatility to calculate relative historical volatility .

Including a standard deviation to calculate the volatility value itself is useless. It filters out 32% of the most volatile movements of the asset that you are observing.

Example of RHV:

Period of Volatility Value (POVV) : 10

Relative Historical Volatility : POVV / POVV*2

Historical Volatility of past 10 Bars is compared to the historical volatility of the bast 20 bars to show real growth/decrease of volatility relative to the time of the performing asset.

Comparing historical volatility to the current bar includes much more noise, the relative historical volatility can be perceived as a smoothed historical volatility ind.

Marginal notes:

Added standard deviations adjusted to the relative volatility value to predict probable future volatility of the stock.
Skript med en öppen källkod

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.

Frånsägelse av ansvar

The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.

Vill du använda det här skriptet i ett diagram?