OPEN-SOURCE SCRIPT

Historical Volatility Ratio

3 986
This script is a way to plot the ratio of short-term and long-term volatility. If the ratio is below 50% for a short/long term HV, we know that the market has the potential to make a large move as the volatility reverts back to its mean.

Credit to Dave Landry for this idea. Seems to be a nice predictor after looking at many breakouts after a pullback.

Defaults to 6-period and 100-period HV.

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