Max Deviation: A Rolling High-Low Range as a Volatility Measure

Summary

The Max Deviation indicator measures the range between the highest high and lowest low across a configurable lookback window. Subtracting the window’s lowest low from its highest high produces a simple measure of the instrument’s total price movement during that period. The document notes possible uses in assessing volatility and locating potential support or resistance areas.

The lookback length controls the period, with examples including 10, 20, and 50 days. A sample implementation uses a 10-day setting and explains that changing the parameter to 20 recalculates the range over 20 days. No market tests or evidence are provided to show that the measure reliably identifies support, resistance, or future volatility. The indicator also gives an absolute price range, so comparisons across instruments or price levels may require normalization; the document does not address that limitation or specify trading rules based on the reading.

Key ideas

• The indicator subtracts the lowest low from the highest high over a selected lookback period.
• Its lookback length can be adjusted to match the analysis horizon.
• The resulting range is presented as a measure of volatility and a possible aid for support and resistance analysis.
• The document provides an implementation example but no performance tests or trading rules.
• Because the measure is an absolute range, comparisons across instruments may need additional scaling.

Tags

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