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Volatility Ratio
Source: https://fxcodebase.com/code/viewtopic.php?f=48&t=66093
Forum: 48 · Topic 66093 · 1 post(s)
Volatility Ratio
Alexander.Gettinger · Wed May 02, 2018 3:01 pm
Formulas: VR[i] = tr[i]/pr[i], where tr[i] = Max(hl[i], hc[i], lc[i]), hl[i] = High[i]-Low[i], hc[i] = Abs(High[i]-Close[i-1]), lc[i] = Abs(Low[i]-Close[i-1]), pr[i] = Max(MH, Open[i-Length+1])-Min(ML, Open[i-Length+1]), MH, ML - maximum and minimum prices at range from (i-Length+1) to (i).
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