Directional Volatility Lines from High-Low Distance and Standard Deviation

Summary

This indicator plots separate volatility measures for bullish and bearish price movement. For the bearish line, it measures the prior close’s distance from the current low; for the bullish line, it measures the current high’s distance from the prior close. Each distance series is averaged over a configurable period, and its standard deviation is added using a configurable multiplier. The page gives default settings of a 20-period window and a multiplier of 2, along with an implementation for ProRealTime.

The output is two directional lines, intended to distinguish volatility associated with upward and downward movement. The document explains the calculation but does not define trading signals, thresholds for entries or exits, or how to use the lines for position sizing. It supplies no testing results or comparisons with other volatility indicators, so the parameters and any trading interpretation require independent evaluation.

Key ideas

• The indicator calculates separate volatility lines for upward and downward price movement.
• Each line uses a moving average of directional high-low distance and a standard deviation adjustment.
• The period and deviation multiplier are configurable, with example defaults provided.
• The document defines the calculation but gives no entry rules or performance evidence.

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