Volatility (Volty)

Volatility is defined as market movement. Wide movement is considered volatile while narrow movement is considered non-volatile. The volatility study is a way to measure volatility using true range. The volatility study represents a smoothed moving average of the values found by dividing the true range by the midpoint of the true range.

The true range is the greatest of the following:

•      The difference between current high and current low. It’s midpoint =(current high + current low) / 2.

•      The difference between current high and the previous close. It’s midpoint =(current high + previous close) / 2.

•      The difference between previous close and the current low. It’s midpoint = (current low + previous close) / 2.

The complete formula (smoothing of the true range divided by true mid in percent) is:

hh := Maximum(Close(@)[-1],High(@));

ll := Minimum(Close(@)[-1],Low(@));

range := hh - ll;

mid := (hh + ll) / 2;

volat := range / mid * 100

Volatility Parameters