In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.
//////////////////////////////////////////////////////////// // Copyright by HPotter v1.0 29/05/2014 // This indicator used to calculate the statistical volatility, sometime // called historical volatility, based on the Extreme Value Method. // Please use this link to get more information about Volatility. //////////////////////////////////////////////////////////// study(title="Statistical Volatility - Extreme Value Method ", shorttitle="Statistical Volatility") Length = input(30, minval=1) xMaxC = highest(close, Length) xMaxH = highest(high, Length) xMinC = lowest(close, Length) xMinL = lowest(low, Length) SqrTime = sqrt(253 / Length) Vol = ((0.6 * log(xMaxC / xMinC) * SqrTime) + (0.6 * log(xMaxH / xMinL) * SqrTime)) * 0.5 nRes = iff(Vol < 0, 0, iff(Vol > 2.99, 2.99, Vol)) plot(nRes, color=blue, title="Statistical Volatility")