Volatility

2023年6月19日

This script shows three different calculations for volatility.

All three can be used as Stop-Loss...
- Absolute Price Changes
- Maximum Price Fluctuation
- and every one should know Average True Range

The script has a dark and light theme.
And the colors can be changed and each can be deactivated.

On top of that I stumbled over the fact that when MPF crosses over APC
this could result in a significant change in price and could also be used as an entry or exit.
This is also highlighted by default. You can change its background color and you can deactivate it too.

ACP measures volatility over most recent close prices.
This is excellent for comparing volatility.
It includes both frequency and magnitude.
In other words: Sum of differences between second to last close price and last close price as absolute value for 'n' bars.

MPF measures volatility over most recent candles, which could be used as an estimate of risk.
It may also be effective as the basis for a stop-loss or take-profit,
like the ATR but it ignores the frequency of directional changes within the time interval.
In other words: The difference between the highest high and lowest low over 'n' bars.

When you don't know what the ATR is then you can look at this link.