Parkinson Estimator

Parkinson Estimator computes volatility from the high-low span using the 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 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.