Historical Volatility from Standard Deviation of Log Returns

Summary

This document introduces an indicator named NV, based on Sheldon Natenberg’s description of historical volatility. It defines historical volatility as the standard deviation of logarithmic price changes sampled at equal time intervals. The only stated input is a period, which determines the calculation window for the indicator.

The text does not show the calculation formula despite referring to one, and it gives no annualization convention, worked example, trading application, or empirical results. It is a concise definition rather than a full guide to volatility estimation. Readers should not assume that the value is annualized or directly comparable across instruments or sampling intervals, since those details are not specified.

Key ideas

• Historical volatility is described as the standard deviation of equally spaced log price changes.\nA period input sets the length of the calculation window.\nThe document omits the formula and does not specify annualization.\nNo trading signals or performance evidence are included.

Tags

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