Technical Studies Reference


Volatility - Chaikins

This study calculates and displays Chaikin's Volatility for the Price Data in a chart.

Let \(H\), \(L\), and \(H - L\) be random variables respectively denoting the High Price, Low Price, and the difference between the two, and let \(H_t\), \(L_t\), and \(H_t - L_t\) be their respective values at Index \(t\). Let the Length Input be denoted as \(n\). Then we denote the value of Volatility - Chaikin's at Index \(t\) for the given Input as \(CVol_t(n)\), and we compute it in terms of Exponential Moving Averages for \(t \geq n + 4\) as follows.

\(CVol_t(n) = \displaystyle{100 \cdot \frac{EMA_t(H - L,n) - EMA_{t - n}(H - L,n)}{EMA_{t - n}(H - L,n)}}\)

Inputs

Spreadsheet

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Volatility_Chaikins.89.scss


*Last modified Wednesday, 03rd January, 2018.