Larry Williams Volatility Channel Calculation

Summary

The document describes a volatility channel indicator attributed to Larry Williams. It defines an upper and lower channel boundary using rolling extremes over a configurable period. The upper boundary takes the highest value of a transformed price series, while the lower boundary takes the lowest value of another transformed series.

Both transformed series use typical price, calculated as the simple average of the high, low, and close, combined with the current high or low. The only stated input is the calculation period. The document provides the formulas but no chart, trading rules, performance results, or guidance on choosing the period. It therefore explains how the indicator is constructed, but does not establish how well it works or how it should be used in a strategy.

Key ideas

• The indicator has one configurable input: the lookback period.
• The upper channel boundary is the rolling maximum of a high-based transformed price.
• The lower channel boundary is the rolling minimum of a low-based transformed price.
• Typical price is the simple average of the high, low, and close.

Tags

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