Extra indicators

Historical Volatility

How much the price has been swinging, as an annual percentage, from the standard deviation of returns.

用通俗的话解释

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.

计算方法

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

如何使用

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

得出结论

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

示例

EURUSD daily, HV(20) = 6%: one standard deviation of a year's moves is about 6%.

示例中的价格仅作说明。

注意事项

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

一点历史

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

仅供学习参考。没有任何指标或形态能预测未来，本页内容均不构成投资建议。