Range Volatility Monitor

Category: volatility

Categorizes market state as 'volatile' or 'not volatile' by comparing the current symbol's range against the average normalized range of four major FX pairs.

Formula

\text{Normalized Range}_i = \frac{High_i - Low_i}{Close_{i, 240m}} \times 100 \\ \text{Mean Range} = \frac{1}{4} \sum_{i=1}^{4} \text{Normalized Range}_i \\ \text{Volatile} = \text{Current High} - \text{Current Low} > \text{Mean Range}

Inputs

• pair1 (default: USDJPY)
• pair2 (default: EURUSD)
• pair3 (default: GBPUSD)
• pair4 (default: USDCHF)
• period (default: 240)

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