Historical Volatility Ratio from Two Standard Deviations

Summary

The document defines the Historical Volatility Ratio (HVR) as the ratio of two standard deviations calculated over configurable periods. Each standard deviation is applied to the log price change, defined as the logarithm of the current applied price divided by its previous value. The indicator therefore compares realized price variability across two lookback windows; its interpretation depends on the chosen periods and applied price.

The indicator has four settings: the two deviation periods, the applied price, and a threshold described as a low-volatility level. The supplied material gives the formula and parameter meanings, but does not explain how signals should be traded, how to choose parameter values, or how the threshold is applied in practice. It presents no empirical evaluation, market-specific guidance, or evidence that the measure predicts future volatility. HVR is thus a volatility measurement concept rather than a complete trading strategy, and its usefulness would need to be assessed for the intended instrument and timeframe.

Key ideas

• HVR divides one standard deviation of log price changes by another, calculated over a separate period.
• The log change is computed from the applied price relative to its previous value.
• The configurable inputs are two deviation periods, an applied price, and a low-volatility threshold.
• The document provides no trading rules or evidence of predictive performance.

Tags

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