Volatility Estimators

The Volatility Estimators indicator computes a chosen statistical volatility estimate over a lookback window and plots it as a single percentage line. A method selector covers five published estimators: Close-to-Close (the default), Zero-Trend, Parkinson, Garman-Klass, and Rogers-Satchell, with the range-based members drawing on each bar's high, low, open, and close rather than closes alone. Each is implemented in its standard published form over a default 10-bar window, with an annualize toggle scaling the per-bar figure by the square root of the periods per year.

How to Trade the Volatility Estimators?

• Rising line: realized volatility is expanding. Wider stops, smaller sizes, likelier breakout follow-through.
• Falling line: volatility compressing, a quieting regime favoring mean-reversion tactics and tighter targets.
• Low readings vs the instrument's own history: the compression squeeze traders watch. Quiet and expansive phases alternate.
• Estimator disagreement: a close-only estimate vs a range-based one (via a second instance) shows whether movement comes from close-to-close jumps or intrabar range.

A gauge, not a signal generator: it says how much the market is moving, never in which direction.

Volatility Estimators Settings

• Method (default Close-to-Close): the estimator plotted. Close-to-Close and Zero-Trend need only closes; Parkinson, Garman-Klass, and Rogers-Satchell fold in the bar's range, stabilizing on fewer bars at the cost of assuming no opening gaps.
• Length (default 10): bars in the estimation window; longer smooths, shorter reacts quickly but jitters.
• Annualize (default on): scales the per-bar estimate by the square root of the periods per year set in the adjacent field (default 252, the daily-bar convention); off plots raw per-bar values.

Frequently Asked Questions

Which volatility estimator should I use?

What does the Zero-Trend method do differently?

How do these estimators differ from ATR?