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TradingSolutions Function Library
Chaikin's Volatility [CVol] 

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The Chaikin's Volatility function determines the volatility of a financial data series using the percent change in a moving average of the high versus low price over a given time.
Parameters  High The high price of the security for each given day. Low The low price of the security for each given day. MA Period The number of bars of data to include in the moving average, including the current value. For example, a period of 3 includes the current value and the two previous values. A moving average period of 10 is recommended. ROC Period The number of bars of data to include in the percent change, not including the current value. For example, a period of 3 compares the current value to the value three bars ago. A rateofchange (percent change) period of 10 is recommended.
Note that while this function is intended for use with these specific values, any values can be used for these parameters, including other price values and averaged prices.
Indicator Value  Chaikin's Volatility indicator is calculated by taking an exponential moving average of the difference between the high and low prices over the given period of time (MA Period). A percent change (or rateofchange) is then taken for the moving average over the given period (ROC Period). The percent rateofchange value is traditionally multiplied by 100 for easier graphing.
Since Chaikin's Volatility uses exponential moving averages, it will have values at the beginning of the data series. However, you may want to ignore values prior to a sum of the two periods has completed.
Usage  Chaikin's Volatility indicator measures the volatility of a security. High values indicate that prices are changing a large amount during the day. Low values indicate that prices are staying relatively constant. Note that both trending and level prices can have high or low volatility.
High volatility levels can sometimes be used to time trend reversals, such as market tops and bottoms. Low volatility levels can sometimes be used to time the beginning of new upward price trends following periods of consolidation.
Source  This indicator is based on an entry in "Technical Analysis From A To Z" by Steven B. Achelis. It was originally developed by Marc Chaikin.



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