Roger & Satchell Estimator Historical Volatility Bands [Loxx] are constructed using:
Average as the middle line.
Upper and lower bands using theRoger & Satchell Estimator Historical Volatility Bands for bands calculation.
What is Roger & Satchell Estimator Historical Volatility? The Rogers–Satchell estimator does not handle opening jumps; therefore, it underestimates the volatility. It accurately explains the volatility portion that can be attributed entirely to a trend in the price evolution. Rogers and Satchell try to embody the frequency of price observations in the model in order to overcome the drawback. They claim that the corrected estimator outperforms the uncorrected one in a study based on simulated data.
The color of the middle line, unlike the bands colors, has 3 colors. When colors of the bands are the same, then the middle line has the same color, otherwise it's white.
Included
Alerts
Signals
Loxx's Expanded Source Types
Bar coloring
הערות שחרור
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Updated to handle all timeframes. This calculation is without annualized modification so that it's relevant to the current timeframe only.
Author please give feedback on how to make one alert both up and down
BorsaPanda
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Thanks master Loxx. I used this one and the previous one Garman-Klass-Yang-Zhang Historical Volatility Bands [Loxx] simultaneously. they show the same results. İs it because both use same smoother?
loxx
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@BorsaPanda, these are volatility bands, the MA doesn't change much
they are different, but they are also not meme indicators like most indicators are, these are the real studies on real volatility done by real professors. so these have very nuanced use cases and appear the same until you're doing some very advanced trading using volatility based systems. Here are how they are different:
Roger & Satchell sum += (math.log(nz(high[k]) / nz(close[k])) * math.log(nz(high[k])/nz(open[k]))) + (math.log(nz(low[k]) / nz(close[k])) * math.log(nz(low[k]) / nz(open[k])))
yashpalgowda
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How to use this historical volatility bands,
Mosatrader2022
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For some reason as with the Garman, I do not see the volatility bands on chart. I see the values on the right side.
loxx
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@Mosatrader2022, thats whacky, i just tried them again and i see the bands on all timeframes. idk why its doing that, ill keep playing with it to see if i can figure out why its doing that