Historical Volatility - Parkinson - MetaTrader 5 Script | Trading Script Download - MT4/MT5 Resources
The Parkinson's number, or high-low range volatility, was proposed by physicist Michael Parkinson in 1980 to estimate the return volatility of a random walk using the highs and lows of any given period. IVolatility.com calculates daily Parkinson's values. Observe prices at fixed time intervals: n = 10, 20, 30, 60, 90, 120, 150, 180 days.
An important use of PD numbers is to assess distribution prices for the day and to better understand market dynamics. Comparing Parkinson's disease numbers and periodically sampled volatility helps traders understand the trend of market mean reversion and the distribution of stop losses.
Attachment download
📎 historical_volatility_-_parkinson.mq5 (5.3 KB)
Source: MQL5 #21072
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