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Historical Volatility Indicator

Hello,

I am new to Quantconnect and to C# for that matter. Is there a Historical Volatility indicator? If not how do I go about creating one? Do I first create a logarithm of changes indicator and then run STD indicator on it or is there a more elegant way?

Thanks in advance!
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There are many approaches to calculate HV, but as I've understood (STD on logreturns), here you have it :)
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Welcome to QuantConnect @Alina! I typically used the classic Average True Range indicator, but then scaled the range as a percentage of the stock: i.e. ATR_Percentage = ATR/StockPrice. I've also used standard deviation before as its not lagging. If you measure the daily SD of the stock, and take it as a percentage of the stock price to scale.

Great code @Tadas, nice to see the consolidator used like that
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Is there a version of this in Python?

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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