The n-day SNR for a given market is calculated by taking the absolute price change over an n-day period and dividing it by the average n-day volatility.
Arguments
- HLC
Object that is coercible to xts or matrix and contains High-Low-Close prices.
- n
Number of periods for moving average.
- ...
Other arguments to be passed to
ATR.
Value
A object of the same class as HLC or a matrix (if try.xts fails) containing the signal to noise ratio.
Details
$$SNR_n = \frac{|C_t - C_{t-n}|}{ATR_n} $$
Using average true range as the volatility measure captures more of the intraday and overnight volatility in a way that a measurement of Close-to-Close price change does not.
The interpretation is then relatively intuitive: an SNR value of five indicates that the market has moved five times the volatility (average true range) over the given look-back period.