Jiaqing Volatility Dispersion Indicator
factor.formula
Fluctuation smoothing value:
Volatility dispersion:
Default parameters:
The indicator measures the dispersion of volatility by calculating the exponential moving average (EMA) of price fluctuations and their rate of change.
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The smoothed volatility value uses the exponential moving average (EMA) to smooth the difference between the daily highest price (HIGH) and the lowest price (LOW). This value reflects the average level of price fluctuations over the past period of time, and the more recent fluctuations have a greater impact on this value.
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The length of the EMA time window controls the degree of smoothing of fluctuations. The larger the N value, the stronger the smoothing effect and the less sensitive it is to recent fluctuations; the smaller the N value, the more sensitive it is to recent fluctuations. The default value is 10, which means that a window of 10 trading days is used for smoothing.
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The highest price of the day.
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The lowest price of the day.
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Volatility dispersion, which indicates the percentage change of the current smoothed volatility (REM) compared to the smoothed volatility M periods ago. This value reflects the change of the current volatility relative to the volatility of the past period and is the core of this indicator. A positive value indicates an increase in volatility, and a negative value indicates a decrease in volatility.
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The smoothed value REM of the fluctuation range M periods ago.
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The length of the base time window for calculating volatility dispersion, used to compare the difference between the current smoothed volatility and the past volatility. The larger the M value, the slower the indicator responds and the more sensitive it is to longer-term volatility trends. The default value is 10, which means that the smoothed volatility 10 trading days ago is used as the base.
factor.explanation
The Jiaqing Volatility Dispersion Indicator evaluates market volatility by smoothing the price fluctuations and calculating its rate of change. The core logic of this indicator is that a sharp rise in volatility in the short term may mean the release of panic, indicating the opportunity for the market to bottom out and rebound; while a gradual decline in long-term volatility may mean that market sentiment is stable and optimistic, indicating that the market may be at the top. This indicator can assist investors in identifying potential overbought or oversold signals and serve as a reference for trading decisions. It should be noted that any technical indicator cannot be used alone, and should be combined with other indicators and market conditions for comprehensive analysis.