Rogers-Satchell Volatility

Drift-independent range volatility estimator by Rogers and Satchell (1991). Each bar contributes a variance estimate built from how far its high and low stray from open and close, and the reading is the root of the window mean. A trending bar that runs straight from open to close reads as drift, not volatility, so it complements the close-to-close standard deviation, which is blind to intrabar ranges. Volatility carries no directional information, so there is no signal.

Live Demo

Pick a market regime to see how Rogers-Satchell Volatility(14) reacts:

Usage

import {RogersSatchellVolatility} from 'trading-signals';
 
// RogersSatchellVolatility yields results once 14 inputs have been added
const rogersSatchellVolatility = new RogersSatchellVolatility(14);