Measuring Short-Term Volatility Relative to Long-Term Volatility

Summary

The document describes an indicator that compares recent volatility with a longer-term volatility baseline. It calculates standard deviations of close-to-close momentum over short and long lookback periods, then divides the short-period value by the long-period value. A ratio above or below its usual level can show that volatility has changed relative to its broader baseline, though the document does not define thresholds or trading signals.

The example settings use periods of 6 and 100 bars and add a 15-period weighted moving average as a signal line. The display uses a histogram for the ratio and a line for its average. The explanation defines volatility through standard deviation of momentum rather than differences between closing prices. No performance tests, markets, or rules for interpreting the indicator are provided, so it is a measurement tool rather than a validated strategy.

Key ideas

• The indicator divides short-window momentum volatility by long-window momentum volatility.
• Volatility is measured as the standard deviation of close-to-close momentum over each selected period.
• The example compares 6 bars with 100 bars and smooths the ratio with a 15-period weighted average.
• The document provides no tested entry, exit, or threshold rules.

Tags

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