Description
اندیکاتور موجود در تریدینگ ویو (TradingView) توسط برنامه نویسان تریدبامن برای متاتریدر 4 (Metatrader 4) نوشته شده است.
این اندیکاتور نوسانات شدید بازار را نشان می دهد.
توضیحات:
Sigma Spikes were created by Adam Grimes and this is one of the best volatility indicators out there. This indicator gives you positive or negative volatility.
The use of price volatility to measure price moves is based on the fact that daily price returns are meaningless without context, and short-term price history is required to understand the significance of a price change. A better approach would be to monitor the natural movement of a stock and then base the importance of a price change on that information.
Adam Grimes created Sigma Spike as a way to evaluate how today’s price return compares to past volatility by measuring it against the Standard Deviation of the last 20 daily price returns.
The Sigma Spike is calculated by dividing today’s price return by 20 Standard Deviations.
Suppose a stock has a current return of 20 Standard deviations of 1.53% and a current return of 4.02%
Sigma Spike = Todays Return / STDEVP(20) = 1.53%/4.02% = 2.63
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