Historical Volatility - High/Low - MetaTrader 5 Script | Forex Indicator Download - MT4/MT5 Resources

Historical volatility (HV) is a statistical measure of the dispersion of returns for a specific security or market index over a specific period. Generally speaking, the indicator is calculated by determining the average deviation from the average price of a financial instrument over a given time period. Using standard deviation is the most common, but not the only, way to calculate historical volatility.

The higher the historical volatility value, the riskier the security. However, this is not necessarily a bad result as the risk goes both ways - bullish and bearish, i.e.: historical volatility is not a directional indicator and should not be used like other directional indicators. Used to determine the rise and fall of price change fluctuations.

This version also does not use closing prices to calculate volatility. Instead, it uses a high/low ratio (which is calculated differently than the "regular"historical volatility indicator).

Attachment download

📎 historical_volatility_-_high-low.mq5 (5.7 KB)

Source: MQL5 #21071