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Volatility Indicators & Channels (18 Indicators)

Volatility indicators measure the dispersion of returns, price range expansion, and channel boundaries.

true_range(high, low, close)

True Range: \(\max(H - L, |H - C_{prev}|, |L - C_{prev}|)\).

atr(high, low, close, period=14)

Average True Range using Wilder's smoothing. Measures absolute market volatility.

natr(high, low, close, period=14)

Normalized Average True Range: \(\text{ATR} / \text{Close} \times 100\). Allows cross-asset volatility comparison.

bollinger_bands(close, period=20, num_std=2.0)

Bollinger Bands. Returns Struct: upper, middle, lower, bandwidth, percent_b.

bollinger_delta(close, period=20, num_std=2.0)

Bollinger Band Spread: \(2 \cdot k \cdot \sigma\).

keltner_channels(high, low, close, ema=20, atr=10, multiplier=2.0)

Keltner Channels. Combines an EMA baseline with ATR-based bands. Returns Struct: upper, middle, lower.

keltner_width(high, low, close, ema=20, atr=10, multiplier=2.0)

Normalized Keltner Channel Width (%) for Bollinger/Keltner volatility squeeze detection.

donchian_channels(high, low, period=20)

Donchian Channels. High/Low range breakout channel. Returns Struct: upper, middle, lower.

donchian_width(high, low, period=20)

Donchian Channel Bandwidth (percentage spread relative to midline).

envelopes(close, period=20, percentage=0.025)

Moving Average Envelopes. Fixed-percentage bands above and below an SMA midline. Returns Struct: upper, middle, lower.

starc_bands(high, low, close, period=20, atr_period=15, multiplier=2.0)

STARC Bands (Stoller Average Range Channels). SMA midline + ATR bands. Returns Struct: upper, middle, lower.

stddev(close, period=20)

Rolling sample standard deviation.

ulcer_index(close, period=14)

Ulcer Index. Quantifies downside risk and retracement depth.

chandelier_exit(high, low, close, period=22, multiplier=3.0)

Chandelier Exit. Trailing stop based on highest high/lowest low minus ATR multiple. Returns Struct: long_stop, short_stop.

historical_volatility(close, period=20, trading_days=252)

Annualized Log Historical Volatility (\(\sigma_{annual}\)).

parkinson_volatility(high, low, period=20, trading_days=252)

Parkinson Extreme-Value Volatility. 5x more efficient than close-to-close volatility by incorporating intraday High/Low.

garman_klass_volatility(open, high, low, close, period=20, trading_days=252)

Garman-Klass Efficient Volatility. Incorporates Open, High, Low, and Close for maximum estimator efficiency (8x better than close-to-close).

chaikin_volatility(high, low, period=10, roc_period=10)

Chaikin Volatility. Percentage rate of change of the exponential moving average of the High-Low spread.