Volatility Ratio (VR)

Category: volatility

Measures the ratio between the current True Range and the Average True Range, highlighting periods of abnormal volatility expansion relative to the historical average.

Formula

VR = \frac{TR_t}{ATR(n)_t} \\ \text{where } TR = \max(H-L, |H-C_{t-1}|, |L-C_{t-1}|) \\ \text{and } ATR \text{ is Wilder's RMA with bias correction}

Inputs

• i_atrPeriod (default: 14)

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