According to Chaikin's interpretation, a growth of volume indicator in a relatively short space of time means that the prices approach their minimum (like when the securities are sold in panic), while a decrease of volatility in a longer period of time indicates that the prices are on the peak (for example, in the conditions of a mature bull market).
Calculations:
H-L(i) = HIGH (i) - LOW (i)
H-L(i - 10) = HIGH (i - 10) - LOW (i - 10)
CHV = (EMA (H-L (i), 10) - EMA (H-L (i - 10), 10)) / EMA (H-L (i - 10), 10) * 100
Where:
HIGH (i) — maximum price of current bar;
LOW (i) — minimum price of current bar;
HIGH (i - 10) — maximum price of the bar ten positions away from the current one;
LOW (i - 10) — minimum price of the bar ten positions away from the current one;
H-L (i) — difference between the maximum and the minimum price in the current bar;
H-L (i - 10) — difference between the maximum and the minimum price ten bars ago;
EMA — exponential moving average.
CHV.lua- (1.66 KiB) Downloaded 1410 times
Version with additional averaging methods.
- Chaikin Volatility Oscillator.lua
- (3.27 KiB) Downloaded 909 times
The indicator was revised and updated
