Averaged Volatility from Rolling Price Extremes

Summary

This indicator estimates volatility by finding the highest and lowest prices over a user-selected lookback period. It calculates their difference in points, then averages that range and displays the result in a separate chart window. The documented default lookback is 20 periods.

The document explains the calculation at a high level and notes that the implementation uses a smoothing library for intermediate calculations. It also says the indicator was first implemented in MQL4 and published in 2008. No performance study, trading rules, or comparison with other volatility measures is provided. The description does not specify the averaging method, how the indicator behaves across instruments or timeframes, or whether the range should be annualized. It is therefore a basic indicator description rather than evidence that the measure predicts volatility or supports a profitable strategy.

Key ideas

• The indicator measures the price range between the highest and lowest values in a selected lookback period.
• It reports the range in points after averaging it.
• The lookback period is configurable, with 20 periods given as the default.
• The document provides no trading results or evidence of predictive value.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.