Volatility Indicators

Volatility Indicators

Reference

Indicators.atr — Method.
atr(hlc::Matrix{Float64}; n::Int64=14)::Array{Float64}

Average true range (uses exponential moving average)

source
Indicators.bbands — Method.
bbands(x::Array{Float64}; n::Int64=10, sigma::Float64=2.0)::Matrix{Float64}

Bollinger bands (moving average with standard deviation bands)

Output

  • Column 1: lower band
  • Column 2: middle band
  • Column 3: upper band
source
Indicators.keltner — Method.
keltner(hlc::Matrix{Float64}; nema::Int64=20, natr::Int64=10, mult::Int64=2)::Matrix{Float64}

Keltner bands

Output Column 1: lower band Column 2: middle band Column 3: upper band

source
Indicators.tr — Method.
tr(hlc::Matrix{Float64})::Array{Float64}

True range

source