Black Friday great discounts start today Learn more
+1 888 340 6572

Miscellaneous > Chaikin Volatility

Article/Author: Omega Research Inc., 1997

Download: chvol.ela

File Includes:

Indicator - Chaikin Volatility
Function - ChaikinVol
Function - ROC (Rate Of Change)

Category: Indicator > Miscellaneous

Description:

Chaikin's Volatility indicator compares the spread between a security's high and low prices. It quantifies volatility as a widening of the range between the high and the low price.

Usage:

There are two ways to interpret this measure of volatility. One method assumes that market tops are generally accompanied by increased volatility (as investors get nervous and indecisive) and that the latter stages of a market bottom are generally accompanied by decreased volatility (as investors get bored).

Another method (Mr. Chaikin's) assumes that an increase in the Volatility indicator over a relatively short time period indicates that a bottom is near (e.g., a panic sell-off) and that a decrease in volatility over a longer time period indicates an approaching top (e.g., a mature bull market).

As with almost all experienced investors, Mr. Chaikin recommends that you do not rely on any one indicator. He suggests using a moving average penetration or trading band system to confirm this (or any) indicator.




Inputs:

Price1 - security's high price
Price2 - security's low price
Length - specifies the number of trailing bars to include in the volatility calculation
RocLen - the percent by which a moving average changes over a specified time period

EasyLanguage Code:
INPUTS: PRICE1(HIGH), PRICE2(LOW), LENGTH(10),

ROCLEN(12) ;

VALUE1 = CHAIKINVOL ( PRICE1, PRICE2, LENGTH, ROCLEN ) ;
{ EX: ROC(XAVERAGE( H - L, 10), 12 ) AS IN CHAIKIN VOLATILITY }

PLOT1( VALUE1, "CHAIKIN" );