Actionable Daily Historical Volatility for ThinkorSwim


Staff member
This indicator uses historical volatility of the last 10 and 100 days. Not much information about it but I'm seeing some good cross up and cross down signals.


thinkScript Code

# Actionable Daily Historical Volatility
# Assembled by BenTen at
# Converted from

declare lower;

# Historical Volatility 10 day
def HV = stdev(log(close / close[1]), 10) * sqrt(365) * 100;
# Historical Volatility 100 day
def HV1 = stdev(log(close / close[1]), 100) * sqrt(365) * 100;

assignPriceColor(if HV>HV1 and HV[1]<HV1[1] then Color.Green else if HV<HV1 and HV[1]> HV1[1] then Color.Red else Color.White);

plot tenHV = HV;
plot HundredHV = HV1;



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thanks Ben for sharing. Interesting concept; wouldn't it require a daily chart, since it's calc the HV and SQRT of the day, curious to see if the indicator was designed for daily time frame, rather than intraday timeframe?

I will stop check it to see if there is any variations.
@diazlaz Certainly, I think you should look at the daily chart first for this particular indicator. On $SPY it definitely spotted some nice bullish reversal signals.


It doesn't hurt to test on lower timeframes either :)


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This was shared with our Warehouse members last week. It's now available to everyone.
Dear Ben, Can you please check for ROKU for Daily Timeframe the condition is failing, it is showing green candle when there is huge sell off.
Before anyone depends on this indicator make sure you read about HV. My understanding is it shows historical volatility of a stock without regard to direction. So how does this indicator function to choose a direction ? Makes little sense to me. Maybe someone can explain.
@horserider you are correct that historical volatility on its own does not function to choose direction.
In this case, the code seems to compare the 10 day to the 100 day, so in this case looking at whether something is above or below, higher or lower, may give some sort of signal. Utility is, of course, up to the person using the indicator.
Hi Ben,

Is it possible to change the script to plot the ratio of the six-day historical volatility reading to the 100-day historical volatility reading? This is one of the trading techniques discussed in Street Smarts by LBR (Chapter 20, Historical volatility meets Toby Crabel).

@jma A slight modification to the script will give you what you want:

def HV1 = stdev(log(close / close[1]), 6) * sqrt(365) * 100;
Hi Ben,

Thank you so much for such a quick response. Sorry I know little about Thinkscript so please excuse my ignorance. If you make this change, I assume it changes the 10-period historical volatility to 6-period historical volatility. I also assume you meant def HV instead of def HV1 since HV1 is the 100-period historical volatility.

My question is: How do you plot the ratio of a 6-period historical volatility to 100-period historical volatility?

Thanks again for your time!
@jma I'm slightly confused about your request. The current indicator plot the 10 and 100 days historical volatility values. Do you want to keep the 100-day and change 10-day to 6-day?
Sorry if I did not make my request clear. I do NOT want to plot either the 6-day or 100-day historical volatility. Rather I would like to just plot the ratio of the 6-day historical volatility to the 100-day historical volatility:

6-day historical volatility divided by 100-day historical volatility

@jma I see. Try this:

# Actionable Daily Historical Volatility
# Assembled by BenTen at
# Converted from

declare lower;

# Historical Volatility 6 day
def HV = stdev(log(close / close[1]), 6) * sqrt(365) * 100;
# Historical Volatility 100 day
def HV1 = stdev(log(close / close[1]), 100) * sqrt(365) * 100;

plot ratio = HV / HV1;

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