Realized Volatility from Squared Log Returns
Summary
The document describes a realized volatility indicator calculated from recent closing prices. It takes the difference between consecutive log prices, squares those returns, sums them over a configurable lookback, takes the square root, and scales the result by 100. It also plots a configurable moving average of the volatility series, with selectable averaging type.
The text points to external references as the basis for the formula and presents an implementation, but the author explicitly says they are unsure whether it is coded correctly. No validation, asset-specific guidance, annualization convention, or trading results are supplied. The displayed value should therefore be treated as a simple rolling measure derived from close-to-close returns, not as a validated forecast or a directly comparable annualized volatility estimate.
Key ideas
- The indicator estimates volatility by aggregating squared close-to-close log returns over a rolling window.
- It scales the resulting square root by 100.
- A configurable moving average can smooth the volatility series.
- The author offers no independent validation and flags possible formula errors.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.