Natenberg's Volatility

2022年3月23日

This indicator is historical volatility indicator created by Sheldon Natenberg, as the standard deviation of the logarithmic price changes measured at regular intervals of time.
In Mr. Natenberg's book, Option Volatility & Pricing, he covers volatility in detail and gives the formula for computing historical volatility.

My changes:
I didn't changed formula, i just added smooth version of volatility it can be used as trigger when cross(over/under) non-smoothed volatility.

Note:
There is two formulas for daily and weekly. Indicator showing only daily formula!
Who wants to display the weekly formula change line 17, namely remove "//"

Enjoy!