Range and Volatility Indicators

12 algorithms in Technical Indicators · 12 with asserted arithmetic.

In this family#

1. Normalized ATR and ATR Percentage verified

   Wilder's Average True Range over period bars, and the same figure restated as a percentage of that bar's close.

   normalizedAtrAndAtrPercentage(input)
2. Chaikin Volatility verified

   Chaikin Volatility: the percentage change, roc_period bars apart, in an exponential moving average of the bar's high-low range.

   chaikinVolatility(input)
3. Ulcer Index verified

   Ulcer Index: the root mean square of the percentage drawdown from the running peak close, measured across a window of period bars.

   ulcerIndex(input)
4. Relative Volatility Index verified

   Relative Volatility Index: an RSI-shaped 0-100 oscillator that grades the rolling standard deviation of close recorded on up bars against the same measure recorded on down bars.

   relativeVolatilityIndex(input)
5. Volatility Ratio verified

   Volatility Ratio: the standard deviation of close-to-close simple returns over a short window divided by the same measure over a long window.

   volatilityRatio(input)
6. Volatility Quality Index verified

   Volatility Quality Index: accumulates each bar's true range signed by the direction of its close, then smooths the running total with an exponential moving average.

   volatilityQualityIndex(input)
7. Average Daily Range verified

   Average Daily Range: the simple moving average of the bar's high-low range over period bars.

   averageDailyRange(input)
8. Gap Volatility verified

   Gap Volatility: measures each bar's opening gap -- this open less the prior close -- and the rolling standard deviation of those gaps.

   gapVolatility(input)
9. Range Efficiency Ratio verified

   Range Efficiency Ratio: the absolute net close-to-close move across period bars divided by the sum of the high-low ranges over the same span.

   rangeEfficiencyRatio(input)
10. High-Low Range Percentage verified

    Expresses the bar's high-low range as a percentage of its high-low midpoint: 200 * (high - low) / (high + low).

    highLowRangePercentage(input)
11. Normalized Price Range verified

    Places the close inside the highest high and lowest low of the last period bars, scaled to a 0-1 position.

    normalizedPriceRange(input)
12. Volatility Stop verified

    Volatility Stop: a trailing long stop set multiplier ATRs below the highest close of the last period bars, and a short stop the same distance above the lowest close.

    volatilityStop(input)

What they share#

Every topic here is a series-transform, so once you have called one the rest follow the same shape. Import paths differ only in the final segment:

import { normalizedAtrAndAtrPercentage } from "fintech-algorithms/technical-indicators/range-and-volatility-indicators/normalized-atr-and-atr-percentage";
import { chaikinVolatility } from "fintech-algorithms/technical-indicators/range-and-volatility-indicators/chaikin-volatility";

Read them in the order above — the sequence is pedagogical, not alphabetical.

Where this sits#

Technical Indicators collects 137 algorithms across 9 families. For the concept behind this family rather than the call signatures, see the concept guides.