Historical Volatility Bands Using the Parkinson Estimator

Summary

This brief indicator description explains a channel built around an average as its central line, with upper and lower bands calculated from Parkinson historical volatility rather than a conventional historical volatility measure. The method therefore uses a volatility estimator based on price range information to set the channel boundaries, while retaining an average as the reference level.

The middle line has three possible color states: it adopts the bands’ color when both bands match and uses a neutral color when they differ. The document provides no formula, lookback period, parameter choices, market examples, or performance evidence. It also does not specify how the bands should be interpreted as signals, so the description defines the indicator’s construction and visual convention without establishing a trading rule or its effectiveness.

Key ideas

• The indicator uses an average as its central reference line.
• Its upper and lower boundaries use Parkinson historical volatility.
• The center line matches the band color when both bands agree and turns neutral when they do not.
• The description gives no parameters, tested results, or explicit entry and exit rules.

Tags

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