Rogers-Satchell Estimator

What is the Rogers-Satchell Estimator?

The Rogers-Satchell estimator is an OHLC volatility estimator whose defining property is drift independence: it stays unbiased when the market trends, where earlier range-based estimators assume a zero mean return. Introduced by L.C.G. Rogers and S.E. Satchell in 1991, the per-bar variance is the log of high over close times the log of high over open, plus the log of low over close times the log of low over open. Pairing each extreme against both endpoints is what cancels drift: a bar that opens at its low and closes at its high contributes exactly zero, while two-sided excursion contributes a lot.

Like the Parkinson estimator and Garman-Klass estimator, it sees only what happens inside the bar, so overnight gaps are invisible and gap-prone assets are understated. Its main modern role is as the intraday core of the Yang-Zhang estimator, which wraps overnight and open-to-close variance terms around it to handle gaps and drift at once.

How traders use it

• As the within-bar volatility estimate for trending markets: zero-drift estimators inflate when the tape runs one way, while Rogers-Satchell prices only the wiggle around the move.
• As a drift diagnostic: a wide gap between Parkinson or Garman-Klass and Rogers-Satchell over the same window flags how much of measured 'volatility' is actually one-way trend.
• As a band and stop input where trend is the norm: envelopes sized from it reflect two-sided excursion rather than directional progress, so they do not balloon simply because the market is running.