Jiaqing Volatility Index
factor.formula
Calculate the moving average of volatility:
Calculate the volatility rate of change:
Default parameters:
The indicator consists of two core steps: first, calculating the N-day exponential moving average (REM) of the volatility (the difference between the highest and lowest prices of the day); second, calculating the M-day rate of change (CV) of REM, which reflects the relative change in recent volatility.
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Range Exponential Moving Average. It represents the average range of stock price fluctuations in the past N trading days. Using the exponential moving average can give a higher weight to recent price fluctuations.
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The highest price a stock has sold that day.
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The lowest price of the stock on that day.
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The exponential moving average period (window size) used when calculating REM, the default is 10 trading days. Smaller N values make REM more sensitive to price fluctuations, while larger N values reduce its sensitivity. The choice of N value needs to be adjusted according to the specific trading strategy and market conditions.
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Volatility Change Rate: It measures the percentage change of the current REM value relative to the REM value M trading days ago, reflecting the relative change of volatility.
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The time period (window size) used to calculate the volatility change rate CV is 10 trading days by default. The larger the M value, the more gradual the CV's response to volatility changes, and vice versa. The choice of M value also needs to be adjusted according to the trading strategy and market environment.
factor.explanation
The Jiaqing Volatility Index (JVI) evaluates the relative strength and direction of stock price fluctuations by calculating the moving average (REM) of the volatility and its rate of change (CV). When the CV value rises significantly, it indicates that the recent volatility has increased rapidly, which may indicate that the market has turned from calm to active, and there is a possibility of bottoming out and rebounding; conversely, when the CV value continues to decline, it may indicate that market volatility has become flatter and there is a risk of peaking and falling back. Please note that the JVI indicator is not an absolute buy or sell signal, but should be combined with other technical analysis tools and fundamental analysis to improve the accuracy of judgment. Investors are advised to use this indicator with caution in combination with their own risk tolerance and investment goals. In addition, since the indicator focuses on changes in volatility, its reference value may be reduced in markets where the market is sideways or the trend is not obvious.