Realized Volatility
Searching the internet for Volatility, I found some references to this indicator and decided to code it, adding an average to it:
https://www.realvol.com/VolFormula.htm
https://www.realvol.com/VolatilityFormula2.html
https://www.wallstreetmojo.com/realized-volatility/
https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0102940
I hope its formula has been correctly coded. Should you spot any mistake, please let me know.
If you prefer not to have the MA plotted, you may make it invisible with its properties, once installed in ProBuilder.
// RealVol - Realized Volatility
//
// https://www.realvol.com/VolFormula.htm
// https://www.realvol.com/VolatilityFormula2.html
// https://www.wallstreetmojo.com/realized-volatility/
// https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0102940
//
//Periods = 10
//MAperiods = 20
//MAtype = 0 //0=sma, 1=eama, etc...
Periods = max(1,min(999,Periods))
MAperiods = max(1,min(999,MAperiods))
MAtype = max(0,min(6,MAtype))
IF BarIndex > 0 THEN
R = Log(close) - Log(close[1]) //or Log(close / close[1])
VolReal = Sqrt(summation[Periods](Square(R))) * 100
Avg = Average[MAperiods,MAtype](VolReal)
ENDIF
RETURN VolReal AS "Realized Volatility",Avg AS "RV Average"
Comments
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Grazie!
Yes, you can use any setting that suits you best! As to which one... it depends on the instrument traded and the TF used. You’ll need to test settings thoroughly to tell which are best.
grazie Robnerto