Realized Volatility (StdDev of Returns, %)

5 hari lalu

📌 Realized Volatility (StdDev of Returns, %)

This indicator measures realized volatility directly from price returns, instead of the common but misleading approach of calculating standard deviation around a moving average.

🔹 How it works:

Computes close-to-close log returns (the most common way volatility is measured in finance).

Calculates the standard deviation of these returns over a chosen lookback period (default = 200 bars).

Converts results into percentages for easier interpretation.

Provides three key volatility measures:

Daily Realized Vol (%) – raw standard deviation of returns.

Annualized Vol (%) – scaled by √250 trading days (market convention).

Horizon Vol (%) – volatility over a custom horizon (default = 5 days, i.e. weekly).

🔹 Why use this indicator?

Shows true realized volatility from historical returns.

More accurate than measuring deviation around a moving average.

Useful for traders analyzing risk, position sizing, and comparing realized vs implied volatility.

⚠️ Note:

It is best used on the Daily Chart!

By default, this uses log returns (which are additive and standard in quant finance).

If you prefer, you can easily switch to simple % returns in the code.

Volatility estimates depend on your chosen lookback length and may vary across timeframes.

5 hari lalu

Nota Keluaran

Realized Volatility (StdDev of Returns, %)

This indicator measures realized volatility directly from price returns, instead of the common but misleading approach of calculating standard deviation around a moving average.

🔹 How it works:

Computes close-to-close log returns (the most common way volatility is measured in finance).

Calculates the standard deviation of these returns over a chosen lookback period (default = 200 bars).

Converts results into percentages for easier interpretation.

Provides three key volatility measures:

Daily Realized Vol (%) – raw standard deviation of returns.

Annualized Vol (%) – scaled by √252 trading days (market convention).

Horizon Vol (%) – volatility over a custom horizon (default = 5 days, i.e. weekly).

🔹 Why use this indicator?

Shows true realized volatility from historical returns.

More accurate than measuring deviation around a moving average.

Useful for traders analyzing risk, position sizing, and comparing realized vs implied volatility.

⚠️ Note:

By default, this uses log returns, which are additive and standard in quant finance.

If you prefer, you can easily switch to simple % returns in the code.

Volatility estimates depend on your chosen lookback length and may vary across timeframes.