Historical Volatility

Historical Volatility is a measure of price fluctuation over time.

Historical volatility uses historical (daily, multi-day, weekly, monthly, quarterly, and yearly) price data to empirically measure the volatility of a market or instrument in the past. The value displayed by a historical volatility study is the standard deviation of bar-to-bar price differences.

On all historical charts, price differences are measured on a settlement-price to settlement-price basis. To calculate the historical volatility study, you must first identify the mean and then calculate the standard deviation.

Formula:

Where:

s = standard deviation, or historical volatility

n = number of occurrences (bars)

m =mean

xi = price changes

And:

Mean:

Where:

m = mean

n = number of occurrences

xi = price changes

And:

xi can equal percent of price change:

Or:

xi can equal natural logarithmic price change:

Parameters

Parameter

Function

Base

Default is 0.

Color

Default color is yellow. To change the color, click on the color button:

Then choose the color you want from the Color Menu.

Deviations

Default is 1.0

Graph

Sets the drawing method for the study.

Option	Function
Bars	Renders the study as bars.
Dots	Renders the study as dots.
Dotted	Renders the study as dots.
Histogram	Renders the study as a histogram drawn from 0.
Line (Default)	Renders the study as a line.
Not Drawn	The study is not rendered.

Line Style

Sets the rendering technique of the graph parameter (if it is set to Line).

Option	Function
Dash-Dot	--l-l-l-l-l-l-
Dash-Dot-Dot	----ll----ll----
Dashed	- - - - - - - - - - - - - - -
Dotted	llllllllll
Solid (Default)	-------------------------

Line Width

Sets the tickness of the study line.

Option	Function
1 pixel (Default)
2 pixels
3 pixels
4 pixels
5 pixels

Method

Nat. Log (Default)

Percent Change

Period

Default is 10

Price

The price on which the study is calculated:

Option	Function
Close	Closing price (Default).
First Study	Calculates the study using the values of the first study in the window.
H, L Midpt	Calculates the study on the mid-point of the high and low.
H, L, C Avg.	Calculates the study on the average of the High, Low, and Close.
High	High price.
Low	Low price.
Open	Opening price.
Tick Average	Calculates the study on the average of ticks in the period.

Trading Periods

Default is 253.0