Zhang Historical Volatility Indicator
- Indicators
- Roy Meshulam
- Version: 1.1
- Updated: 22 January 2020
- Activations: 5
In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns.
Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option).
In 2000 Yang-Zhang created a volatility measure that handles both opening jumps and drift. It is the sum of the overnight volatility (close-to-open volatility) and a weighted average of the Rogers-Satchell volatility and the open-to-close volatility. The assumption of continuous prices does mean the measure tends to slightly underestimate the volatility - https://www.jstor.org/stable/10.1086/209650?seq=1#metadata_info_tab_contents
For using from within an Expert Adviser, call the indicator with
iCustom(NULL,0,"ZhangHistoricalVolatility",24,0,0);