Volatility Indicator Functions
ADR - Average Day Range
real = ADR(high, low, timeperiod=14)
Learn more about the Average Day Range at tadoc.org.
ATR - Average True Range
NOTE: The ATR function has an unstable period.
real = ATR(high, low, close, timeperiod=14)
Learn more about the Average True Range at tadoc.org.
BBW - Bollinger BandWidth
real = BBW(close, timeperiod=20, nbdevup=2, nbdevdn=2, matype=0)
CVI - Chaikin's Volatility
real = CVI(high, low, timeperiod=10, rocperiod=10)
Learn more about the Chaikin's Volatility at tadoc.org.
MASSI - Mass Index
real = MASSI(high, low, fastperiod=9, slowperiod=25)
NATR - Normalized Average True Range
NOTE: The NATR function has an unstable period.
real = NATR(high, low, close, timeperiod=14)
Learn more about the Normalized Average True Range at tadoc.org.
PERCENTB - Bollinger Bands %B
real = PERCENTB(close, timeperiod=20, nbdevup=2, nbdevdn=2, matype=0)
ROGERSSATCHELL - Rogers-Satchell Volatility
real = ROGERSSATCHELL(open, high, low, close, timeperiod=10, annualization=252)
RVI - Relative Volatility Index
NOTE: The RVI function has an unstable period.
real = RVI(close, timeperiod=14, stddevperiod=10)
Learn more about the Relative Volatility Index at tadoc.org.
RVIR - Relative Volatility Index, refined high/low form
real = RVIR(high, low, timeperiod=14, stddevperiod=10)
TRANGE - True Range
real = TRANGE(high, low, close)
Learn more about the True Range at tadoc.org.