Chaikin Volatility

Chaikin Volatility measures the rate of change of the security's trading range. Developed by Marc Chaikin.

Usage

chaikinVolatility(HL, n = 10, maType, ...)

Arguments

HL

Object that is coercible to xts or matrix and contains High-Low prices.

n

Number of periods for moving average.

maType

A function or a string naming the function to be called.

...

Other arguments to be passed to the maType function.

Value

A object of the same class as HL or a vector (if try.xts fails) containing the Chaikin Volatility values.

Details

The Chaikin Volatility indicator defines volatility as an increase in the difference between the high and low.

Note

A rapid increase in Chaikin Volatility indicates an approaching bottom. A slow decrease in Chaikin Volatility indicates an approaching top.

References

The following site(s) were used to code/document this indicator:
https://www.fmlabs.com/reference/ChaikinVolatility.htm
https://www.metastock.com/Customer/Resources/TAAZ/?p=120

See also

See EMA, SMA, etc. for moving average options; and note Warning section. See TR for another volatility measure.

Author

Joshua Ulrich

Examples

 data(ttrc)
 volatility <- chaikinVolatility(ttrc[,c("High","Low")])