Historical Volatility

الفكرة بكلمات بسيطة

Volatility measures risk: the bigger and more frequent the moves, the higher it is. Expressed per year, it can be compared with option prices and other markets.

طريقة الحساب

Take the logarithmic return of each candle, compute their standard deviation over N candles and scale it to a year (√252 for daily candles, adjusted for other timeframes), in per cent.

r = ln(close ÷ close₋₁)
HV = stdev(r, N) × √(periods per year) × 100

كيفية الاستخدام

• Position sizing: smaller positions when volatility is high.
• Spotting quiet periods that often come before big moves.

استخلاص النتائج

• Compare with the ticker's own history: 10% is high for EURUSD and low for bitcoin.

ما يجب الانتباه إليه

• Backward-looking: it measures what has been, not what will be.

لمحة تاريخية

Standard deviation of returns became the textbook risk measure with modern portfolio theory (1950s) and option pricing (1970s).