Close to Close Volatility

[wclark17]

Any plans to add this volatility metric?
Although I came across a few different methods for the formula, but it does seem like it could be useful

[DaveSkender]

Never heard of it, but maybe it’s just a name thing. What’s the gist?

[wclark17]

It tries to measure how volatile recent trading has been by comparing the closes over X periods. This is the one I coded up: https://portfolioslab.com/tools/close-to-close-volatility There are a few different formulas but the others are looking to annualized the return and look at daily closes versus using the closes of different ca dle sizes. Like this one https://www.macroption.com/historical-volatility-excel/

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On Wed, Jan 25, 2023, 20:06 Dave Skender ***@***.***> wrote: Never heard of it, but maybe it’s just a name thing. What’s the gist? — Reply to this email directly, view it on GitHub <#1010 (comment)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/ABJE4DXLSPSAKA6ULJXX633WUHZ37ANCNFSM6AAAAAAUHBEMWM> . You are receiving this because you authored the thread.Message ID: <DaveSkender/Stock.Indicators/repo-discussions/1010/comments/4783926@ github.com>

[DaveSkender]

Oh, this is just another name for our standard deviation indicator: quotes.GetStdDev(..);. Here’s the underlying code for our calculations, for comparison. Definitely a classic.

[DaveSkender]

The only variant here, as you pointed out, might be to use return values (% change in price) instead of raw close price, which is a good way to normalize across assets. You can do that fairly simply with a chain from daily rate of change:

var results = quotes
  .GetRoc(1)
  .GetStdDev(..):

[wclark17]

Thanks. for taking a look.
I'll play with that chain, as it makes sense.

One question is how would you annualize it? Although I haven't been able to make the connection with annualizing when using say a lookback of 10 on 15m candles.

[DaveSkender]

Aw, man, I have to crack open my old schoolbooks for annualizing returns. That second link you have above uses a natural log based approach, but that looks goofy to me.