Extra indicators
Historical Volatility
How much the price has been swinging, as an annual percentage, from the standard deviation of returns.
Die Idee in einfachen Worten
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.
So wird gerechnet
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) × 100Anwendung
- Position sizing: smaller positions when volatility is high.
- Spotting quiet periods that often come before big moves.
Schlüsse ziehen
- Compare with the ticker's own history: 10% is high for EURUSD and low for bitcoin.
Beispiel
EURUSD daily, HV(20) = 6%: one standard deviation of a year's moves is about 6%.
Kurse in Beispielen dienen der Veranschaulichung.
Worauf man achten sollte
- Backward-looking: it measures what has been, not what will be.
Ein wenig Geschichte
Standard deviation of returns became the textbook risk measure with modern portfolio theory (1950s) and option pricing (1970s).
Nur Bildungsinhalte. Kein Indikator und kein Muster sagt die Zukunft voraus, und nichts hier ist eine Anlageberatung.