Realized Volatility (StdDev of Returns, %)

Realized Volatility (StdDev of Returns, %)

This indicator measures realized (historical) volatility by calculating the standard deviation of log returns over a user-defined lookback period. It helps traders and analysts observe how much the price has varied in the past, expressed as a percentage.

How it works:

• Computes close-to-close logarithmic returns.
  
• Calculates the standard deviation of these returns over the selected lookback window.
  

Provides three volatility measures:

• Daily Volatility (%): Standard deviation over the chosen period.
  
• Annualized Volatility (%): Scaled using the square root of the number of trading days per year (default = 250).
  
• Horizon Volatility (%): Scaled to a custom horizon (default = 5 days, useful for short-term views).
  

Inputs:

• Lookback Period: Number of bars used for volatility calculation.
  
• Trading Days per Year: Used for annualizing volatility.
  
• Horizon (days): Adjusts volatility to a shorter or longer time frame.
  

Notes:

• This is a statistical measure of past volatility, not a forecasting tool.
  
• If you change the scale to logarithmic, the indicator readibility improves.
  
• It should be used for analysis in combination with other tools and not as a standalone signal.