There are a lot of ways to measure volatility (changeability). One of them is calculation of the standard deviation of returns for a certain period of time. Sometimes the current volatility on a short period of time (for example, 6 days) is correlated with volatility of a larger period (for example 100 days). This indicator calculates the correlation of a short volatility Vol_short and a long volatility Vol_long:
Standard deviation here is not that from a difference of closing prices, but from logarithms of the correlation of the current day closing price and closing price of a previous day:
where k is the period of volatility change.
The indicator uses SmoothAlgorithms.mqh library classes (must be copied to the terminal_data_folder\MQL5\Include). The use of the classes was thoroughly described in the article “Averaging Price Series for Intermediate Calculations Without Using Additional Buffers”.
This indicator was first implemented in MQL4 and published in Code Base 03.02.2008.
MT5 Indicator – Download Instructions
Change Of Volatility is a Metatrader 5 (MT5) indicator and the essence of the forex indicator is to transform the accumulated history data.
Change Of Volatility provides for an opportunity to detect various peculiarities and patterns in price dynamics which are invisible to the naked eye.
Based on this information, traders can assume further price movement and adjust their strategy accordingly.
How to install Change Of Volatility.mq5?
- Download Change Of Volatility.mq5
- Copy Change Of Volatility.mq5 to your Metatrader Directory / experts / indicators /
- Start or restart your Metatrader 5 Client
- Select Chart and Timeframe where you want to test your indicator
- Search “Custom Indicators” in your Navigator mostly left in your Metatrader 5 Client
- Right click on Change Of Volatility.mq5
- Attach to a chart
- Modify settings or press ok
- Indicator Change Of Volatility.mq5 is available on your Chart
How to remove Change Of Volatility.mq5 from your Metatrader 5 Chart?
- Select the Chart where is the Indicator running in your Metatrader Client
- Right click into the Chart
- “Indicators list”
- Select the Indicator and delete
Click here below to download MT5 Indicator: