Category · 10 articles
Volatility indicators
A volatility indicator measures how far price moves, not which way. The average true range gives the size of a typical bar, Bollinger and Keltner bands draw that size around a moving average, and squeeze tools flag the moments when the range gets unusually narrow. This category has 10 volatility indicator guides. Volatility is one of four indicator families; see all of them on the indicators page.
The pattern test bench does not measure indicators. Some guides run their rule on real bars (Bitcoin, the S&P 500 ETF, EUR/USD) and give the sample size; those worked examples are not bench results. For tested patterns, see the pattern statistics table and the methodology.
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Average True Range (ATR): Formula, ATR Percent by Market, and How Often ATR Stops Get HitATR turns gaps and ranges into one volatility number: 0.68% a day on EUR/USD, 4.87% on Ether. The formula, and how often 1 to 3 ATR stops were hit.
Bollinger Bands: Formula, Settings, and What Closes Outside the Bands Did on Real PricesBollinger said about 90% of closes stay inside the bands. On six markets we found 86.4% to 91.0%, and measured what fading the bands did over the years.
Keltner Channel: Formula, Settings, and Whether a Break Means Trend or ReversalKeltner channels set ATR-wide lines around a 20-day EMA. The formula, how often closes fall outside, and what breaks did next on four markets.
Bollinger BandWidth and %B: Formulas, How to Read Them, and the SqueezeBollinger %B shows where price sits inside the bands and BandWidth how wide they are: the formulas, how to read them, the Squeeze and a measured example.
Ranges, bands and channels
- Average True Range (ATR): Formula, ATR Percent by Market, and How Often ATR Stops Get HitATR turns gaps and ranges into one volatility number: 0.68% a day on EUR/USD, 4.87% on Ether. The formula, and how often 1 to 3 ATR stops were hit.
- Bollinger Bands: Formula, Settings, and What Closes Outside the Bands Did on Real PricesBollinger said about 90% of closes stay inside the bands. On six markets we found 86.4% to 91.0%, and measured what fading the bands did over the years.
- Bollinger BandWidth and %B: Formulas, How to Read Them, and the SqueezeBollinger %B shows where price sits inside the bands and BandWidth how wide they are: the formulas, how to read them, the Squeeze and a measured example.
- Keltner Channel: Formula, Settings, and Whether a Break Means Trend or ReversalKeltner channels set ATR-wide lines around a 20-day EMA. The formula, how often closes fall outside, and what breaks did next on four markets.
Donchian Channel: Formula, Turtle Rules, and a Breakout Test on Five MarketsDonchian breakouts tested on five markets: smaller drawdowns than buy and hold on all five, a better return on only two. The rules, Turtle exits and charts.
Chandelier Exit: Formula, Settings and a Test of 2, 3 and 4 ATRThe Chandelier Exit hangs 3 ATR below the 22-bar high. Formula, how to use it, and a test of multipliers 2, 3 and 4 on Bitcoin, the S&P 500 ETF and EUR/USD.
Volatility filters and squeezes
Choppiness Index (CHOP): Formula, the 61.8 and 38.2 Levels, and a Real Bitcoin ExampleE.W.
Relative Volatility Index (RVI): Dorsey’s Formula, the 50 Line, and How It Compares With RSIDorsey's RVI runs RSI arithmetic on standard deviation. As a filter on S&P 500 ETF trend signals since 1993, RVI above 50 did not improve the next 10 days.
TTM Squeeze Indicator: Formula, Settings, Thinkorswim and What 292 Squeezes DidTTM Squeeze: John Carter’s Bollinger Bands inside Keltner Channels, the formula, settings, thinkorswim inputs, and what 292 S&P 500 squeezes did after firing.
Implied volatility
The volatility priced into options, not measured on past prices. More on the options page.
