Measuring Volatility with the Standard Deviation to Average Ratio

Summary

This note defines a normalized volatility indicator as the standard deviation of an applied price divided by its simple moving average, both calculated over the same configurable period. It identifies the two inputs a user can choose: the lookback period and the price series used in the calculation.

The ratio expresses price dispersion relative to the average price level, so it can help compare volatility across prices with different scales. The document provides the formula but no chart, test, trading rules, or performance evidence. It does not explain how to interpret thresholds, handle an average near zero, or apply the measure in a strategy; those choices require separate analysis.

Key ideas

• The indicator divides standard deviation by the simple moving average of the selected price.
• Both components use the same configurable calculation period.
• The applied price and lookback period are the indicator's configurable inputs.
• The description gives no entry rules or evidence of trading performance.

Tags

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