On this page
Where to find it
- Where
- Chart toolbar → Indicators → group "Library · Volatility"
- Target
- Pane, except Squeeze which draws dots on the price chart
- Not here
- ATR, Bollinger, Keltner and Donchian live in Averages & volatility
- Session reset
- None
What it does
ATR % divides Wilder's ATR by the close and multiplies by 100, making volatility comparable across instruments; a close ≤ 0 gives no value. True Range is a per-bar histogram of Wilder's TR, defined from the first bar (high − low) since no previous close exists. Std Dev is the windowed population standard deviation of the close (÷N), computed in two passes around the window mean to avoid catastrophic cancellation on futures prices.
Squeeze follows John Carter's TTM rule: a dot is placed at the close when the Bollinger bands are strictly inside the Keltner channel (BB upper < KC upper and BB lower > KC lower). It recomputes both envelopes internally with its own defaults rather than reading the Bollinger or Keltner studies. Chaikin Volatility is the percent change over M bars of the EMA(N) of high − low. Realized Vol is the sample standard deviation (÷(N−1)) of the last N log returns, annualised by the square root of the Periods / year parameter, in percent.
Settings
| Study | Setting | Default (range) | What it changes |
|---|---|---|---|
| ATR % | Period | 14 (1–200) | Wilder ATR length before normalisation |
| True Range | Positive color / Negative color / Smoothing | gray / red / 1 (1–200) | Histogram colors; optional SMA post-smoothing, 1 = off |
| Std Dev | Period | 20 (2–200) | Window of the population σ of the close |
| Squeeze | BB period / BB multiplier | 20 (2–200) / 2 (0.5–5) | Internal Bollinger envelope |
| Squeeze | KC period / KC multiplier | 20 (1–200) / 1.5 (0.5–5) | Internal Keltner envelope, same period for EMA and ATR |
| Squeeze | Color | yellow | Dot color at the close |
| Chaikin Volatility | EMA period / ROC period | 10 (1–100) / 10 (1–100) | EMA of the range, then its percent change distance |
| Realized Vol | Period | 20 (2–500) | Number of log returns in the window |
| Realized Vol | Periods / year | 362880 (1–10 000 000) | Annualisation factor; default assumes 1-minute bars over 252 × 24 h days |
How to use it
Enable a study from the Library groups of the Indicators panel. Squeeze shows nothing while either envelope is still in warm-up, and nothing when the bands coincide, because the comparison is strict. The Smoothing setting on True Range is the catalog-wide post-smoothing: the default 1 returns the raw series unchanged and any larger value applies a simple average over the histogram values.
For Realized Vol on a timeframe other than one minute, adjust Periods / year: for 5-minute bars the equivalent is 252 × 288 = 72 576. The default is documented as an approximation, since a CME futures session lasts about 23 hours rather than 24.
Limits and pitfalls
- Std Dev and Squeeze use the population σ (÷N); Realized Vol uses the sample σ (÷(N−1)). Both conventions are documented in the code and are intentional.
- Squeeze defaults (20/2 and 20/1.5) are not the Keltner study's defaults (20/10/2); changing one does not change the other.
- Chaikin Volatility returns no value when the reference EMA is zero or undefined; a market without range is not 0 % change.
- Realized Vol returns nothing if any close in the window is ≤ 0 (log undefined) or during warm-up.
- These measures describe the loaded bars; the library does not certify data coverage or freshness.
Related pages
- Base averages and bands
- Advanced averages and SuperTrend
- Learn: volatility skew explained
- Squeeze study
- Realized Vol study
- ATR % study
In the same section
- Momentum indicators
- Volume indicators
- Tape studies
- Volume flow indicators
- Statistics indicators
- VWAP series
- Session structure
- Interface language
This page in other languages
Frequently asked questions
- Where are ATR, Bollinger and Keltner?
- In the Averages & volatility group, shipped in the first wave. The Volatility group was merged later without replacing them, because an id already persisted in a user's settings must keep the exact behaviour it had.
- Why is the default Periods / year 362 880?
- It equals 252 × 1440, i.e. one-minute bars over 252 trading days of 24 hours. Change it to match the chart's bar duration; the parameter is a stated assumption, not a detected value.