EFS Featured Studies of the Month:
Historical Volatility, High EMA
The EFS library is full of new and useful strategies you can use for free in eSignal.
This month, we feature a study based on volatility and a study based on an exponential moving average.
Markets oscillate from periods of low volatility to high volatility and back. The author`s research indicates that, after periods of extremely low volatility, volatility tends to increase and price may move sharply. This increase in volatility tends to correlate with the beginning of short- to intermediate-term moves in price.
They have found that we can identify which markets are about to make such a move by measuring the historical volatility and the application of pattern recognition.
The indicator is calculating as the standard deviation of day-to-day logarithmic closing price changes expressed as an annualized percentage.
This indicator plots the difference between the High (of the previous period) and an exponential moving average (13-period) of the Close (of the previous period).
Resources for EFS