Charting and Studies User Guide - CQG.com

Page 334
Volatility (Volty)
Volatility is defined as market movement. Wide movement is considered volatile while narrow
movement is considered non-volatile. The volatility study is a way to measure volatility using
true range. The volatility study represents a smoothed moving average of the values found by
dividing the true range by the midpoint of the true range.
The true range is the greatest of the following:
• The difference between current high and current low. It’s midpoint =(current high +
current low) / 2.
• The difference between current high and the previous close. It’s midpoint =(current high
+ previous close) / 2.
• The difference between previous close and the current low. It’s midpoint = (current low
+ previous close) / 2.
The complete formula (smoothing of the true range divided by true mid in percent) is:
Basic Studies
hh := Maximum(Close(@)[-1],High(@));
ll := Minimum(Close(@)[-1],Low(@));
range := hh - ll;
mid := (hh + ll) / 2;
volat := range / mid * 100
Volatility Parameters
• Color and Weight
• MarkIt
• Period: The time frame used for the moving average calculation.
• Display: Choose whether the study should be displayed as a line or as a histogram.
• ShareScale