Chaikin Volatility Indicator
factor.formula
CVI(N) = (EMA(HIGH-LOW, N) - EMA(HIGH-LOW, N)[N]) / EMA(HIGH-LOW, N) * 100
Parameter Description:
- :
The number of periods for exponential moving average calculation is usually 20. Smaller N values are more sensitive to price fluctuations, while larger N values are smoother.
- :
The highest price during the specified period.
- :
The lowest price during the specified period.
- :
The difference between the highest price and the lowest price represents the price fluctuation range of the day.
- :
The N-period exponential moving average of the difference between the highest and lowest prices represents the average volatility over the past N periods.
- :
The value of EMA(HIGH-LOW, N) for the previous N periods.
factor.explanation
The CVI indicator measures changes in market volatility by calculating the relative percentage change between the average volatility of the current period (EMA(HIGH-LOW, N)) and the average volatility of N periods ago (EMA(HIGH-LOW, N)[N]). A positive value indicates an increase in volatility, while a negative value indicates a decrease in volatility. This indicator is designed to reflect the rate of change of price fluctuations rather than the absolute level of volatility. When the CVI value increases, it means that market volatility is increasing, and vice versa, it means that market volatility is decreasing. It should be noted that the absolute value of the CVI indicator itself does not have a clear meaning. It is usually used to observe the changing trend of the CVI indicator and its relationship with other indicators.