For anyone out there who wants another way to look at volatility, here's a little something I was curious about and so coded up. Offered here with minimal explanation:
Average Candle Value
Using tickValue() and tickSize() functions:
plots a simple line representing the value of a candle for whatever future contract you happen to be trading.
Happy Trading,
mashume
Edit:
Here's another interesting twist: Run two lines, one with the full range (high - low) and another with the absolute value of the close - open. Compare the two lines and see how sometimes a lot of volatility goes into movement and other times it doesn't.
I post most of this stuff because I find it interesting, whether or not you find it interesting or useful is up to you.
mashume
Average Candle Value
Using tickValue() and tickSize() functions:
Code:
declare lower;
def ts = TickSize();
def tv = TickValue();
def r = average(data = HIGH - LOW, length = 20);
plot AverageCandleValue = tv * (r / ts);
addlabel(yes, "tick size = " + ts);
addLabel(yes, "tick value = " + tv);
plots a simple line representing the value of a candle for whatever future contract you happen to be trading.
Happy Trading,
mashume
Edit:
Here's another interesting twist: Run two lines, one with the full range (high - low) and another with the absolute value of the close - open. Compare the two lines and see how sometimes a lot of volatility goes into movement and other times it doesn't.
Code:
declare lower;
def ts = TickSize();
def tv = TickValue();
def r = average(data = HIGH - LOW, length = 20);
def er = average(data = AbsValue(CLOSE - OPEN), length = 20);
plot AverageCandleTotalValue = tv * (r / ts);
plot AverageCandleValue = tv * (er / ts);
addlabel(yes, "tick size = " + ts);
addLabel(yes, "tick value = " + tv);
I post most of this stuff because I find it interesting, whether or not you find it interesting or useful is up to you.
mashume
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