Calculating Average and Maximum Candle-Range Volatility
Summary
The document explains a simple way to summarize price movement over a chosen number of trading days. For each quoted day, it takes the difference between the candle’s high and low, sums those ranges across the period, and divides by the number of quotation days to obtain an average daily range. It also reports the maximum daily range within the same period.
A parameter controls the lookback length, and another selects either a simple average or a weighted average. The description excludes weekends by counting quotation days. It does not specify the weighting scheme, normalize ranges by price, or provide a worked example, empirical validation, or guidance for using the measures in a trading strategy. The statistic is therefore a basic range-based activity measure, not a full risk estimate or forecast of future volatility.
Key ideas
- The script aggregates each day’s high-low range over a selected lookback period.
- Average range is calculated by dividing the total range by the number of quotation days.
- It also identifies the largest daily range in the period.
- A setting chooses between simple and weighted averaging, though the weighting method is unspecified.
- The description gives no performance evidence or trading rules based on these measures.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.