Directional Volatility Lines from Close-to-Range Changes

Summary

The indicator presents separate bullish and bearish volatility lines. It forms the short-side input from the previous close minus the current low, and the long-side input from the current high minus the previous close. For each input, it calculates an exponential moving average over a configurable period and adds a scaled standard deviation of that moving average. The deviation multiplier is configurable, so the lines can be adjusted through the period and deviation settings.

The description provides the calculation but no chart examples, trading rules, performance results, or guidance on interpreting line crossings or values. It also does not specify implementation details such as initialization or handling of missing data. The indicator therefore supplies a way to display directionally separated price-range variability, but the document alone does not establish that it predicts price direction or improves trading outcomes. Any use as a signal would require independent evaluation on the intended market and timeframe.

Key ideas

• The indicator displays separate bullish and bearish volatility lines.
• The short-side input measures the gap between the previous close and the current low.
• The long-side input measures the gap between the current high and the previous close.
• Each input is smoothed with an exponential moving average and adjusted by a scaled standard deviation.
• The calculation period and deviation multiplier are configurable.

Tags

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