# Parkinson Estimator

Parkinson Estimator is an indicator on [Vela](https://vela.luxalgo.com/chart), our next-generation charting platform, written in Pine Script®.

Computes annualized Parkinson volatility from the high-low range over a 20-bar window, plotted beside close-to-close volatility on identical settings so the gap between the two lines diagnoses where movement happens. Percentile thresholds at 80/20 flag expansion and compression, with a dashboard for the ratio and rank. For sizing, bands, and volatility-regime work.

- Indicator in the LuxAlgo Library, by LuxAlgo, published Apr 11, 2026.
- Access: free.
- Concepts: [Parkinson Estimator](https://www.luxalgo.com/library/concept/parkinson-estimator/) (primary)
- Open on Vela: https://vela.luxalgo.com/chart?pineScriptCodeId=vanl2oswceiv71cfxelnlm3v
- Page: https://www.luxalgo.com/library/indicator/parkinson-estimator/

**Parkinson Estimator** computes volatility from the high-low span using the [Parkinson estimator](https://www.luxalgo.com/library/concept/parkinson-estimator/): each bar's log range enters squared and scaled, the window averages those terms, and the result is annualized into a percentage. The high-low span reflects the bar's full travel, not one endpoint, so the estimate settles on short windows; the build plots close-to-close volatility beside it on identical settings, so the gap between the lines diagnoses where movement happens. Percentile thresholds rank the reading within its lookback; a dashboard reports both figures, their ratio, and rank.

## How to Trade the Parkinson Estimator?

- **Percentile rank crossing above 80**: volatility expansion under way. Expect range and size accordingly.
- **Rank crossing below 20**: compression: the quiet stretches that often precede range expansion.
- **Parkinson below close-to-close**: overnight gaps are doing the moving, risk the intraday span never records.
- **Parkinson above close-to-close**: sessions are churny and wide-ranged even where the closes land quietly.

The reading is non-directional; alerts cover both percentile crossings and both line crossings.

## Parkinson Estimator Settings

- **Window Length** (default 20): bars averaged; hold it constant when comparing instruments.
- **Annualize** (default enabled) and **Bars Per Year** (default 252): on intraday charts use bars per session times trading days.
- **Close-to-Close Comparison** (default enabled): the one-endpoint benchmark on identical settings.
- **Percentile Lookback** (default 100), **High Percentile** (default 80), **Low Percentile** (default 20): the regime thresholds.
- **Show Percentile Levels** (default disabled): plot the threshold values as dotted references.
- **Show Dashboard** (default enabled); **Gradient Fill** (default enabled).

## Frequently Asked Questions

### How does it compare to the Garman-Klass estimator?

The [Garman-Klass Estimator](https://www.luxalgo.com/library/indicator/garman-klass-estimator/) extends the same range-based idea with open and close terms; Parkinson is the family's simplest member, using high and low alone. Both ignore what happens between sessions, exactly what the comparison line surfaces.

### Why does the figure differ from other volatility tools?

Usually the annualization constant or the window: conventions range from 252 to 365 bars per year, and intraday charts scale by their own bar count. Match Bars Per Year and Window Length before comparing.

### When is Parkinson the wrong estimator?

On gap-prone assets: the range never sees a gap, so the estimate runs below close-to-close volatility and understates risk. The Range/Close Ratio cell reads this in one number: persistently below 1, prefer a close-inclusive measure.

## Related indicators

- [Hot Zone Radar](https://www.luxalgo.com/library/indicator/hot-zone-radar/) (Volatility Percentile/rank): markdown at https://www.luxalgo.com/library/indicator/hot-zone-radar.md
- [Volatility Signature Plot](https://www.luxalgo.com/library/indicator/volatility-signature-plot/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/volatility-signature-plot.md
- [The Range Indicator](https://www.luxalgo.com/library/indicator/the-range-indicator/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/the-range-indicator.md
- [Jump Detection](https://www.luxalgo.com/library/indicator/jump-detection/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/jump-detection.md
- [Volatility of Volatility](https://www.luxalgo.com/library/indicator/volatility-of-volatility/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/volatility-of-volatility.md
- [Garman-Klass–Yang-Zhang Hybrid](https://www.luxalgo.com/library/indicator/garman-klass-yang-zhang-hybrid/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/garman-klass-yang-zhang-hybrid.md
- [GARCH-family Clustering](https://www.luxalgo.com/library/indicator/garch-family-clustering/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/garch-family-clustering.md
- [Kase Studies](https://www.luxalgo.com/library/indicator/kase-studies/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/kase-studies.md

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Source: https://www.luxalgo.com/library/indicator/parkinson-estimator/ (LuxAlgo Library). Free to use with attribution: https://www.luxalgo.com/library/license/