Yang-Zhang Volatility
Yang-Zhang volatility: combines the gap between bars, the open-to-close move and the Rogers-Satchell estimate, annualised in percent.
How to read it
- Higher values mean larger price swings; lower values a calmer market.
- Rising volatility from low levels often comes with breakouts.
- Accounts for gaps between bars as well as moves within them.
Key settings
- Window 20 bars.
- Annualise on (365-day year); off = per bar, in percent.
Good to know
- Drawn in its own pane below the chart.