Annualised log-return volatility as a fraction, assuming 252 bars per year.
Preview
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What it measures
The standard deviation of returns over the window, per bar or annualised: realised, not implied.
- Inputs
- Length 20Bars per year 252
- Output
- A line, in percent
- Feeds
- Risk and sizing rules
- Warm-up
- 21 bars before its first reading
- Updates
- When each bar closes
- Filters entries
- No. It’s measured and charted, and doesn’t change which entries are taken.
- Part of
- Historical Volatility
- Also known as
- HV, Realised Volatility, Return Standard Deviation