Directional Volatility Skew

ATR and standard deviation both average positive and negative moves into a single symmetric number. Two very different markets - one that grinds up quietly and drops hard, another that drops slowly and spikes up - can carry the same ATR reading while behaving in opposite ways underneath it. A stop or target sized off a symmetric volatility figure is implicitly assuming the two directions are equally noisy, which is often false. This indicator computes two semi-deviations over a rolling InpPeriod-bar window of close-to-close returns: the upside line is the root-mean-square of positive returns only (negative returns treated as zero), and the downside line is the same for negative returns. A histogram plots the difference (upside minus downside) through zero, so a positive bar means the recent upside noise has been larger than the downside noise, and a negative bar means the reverse. Because both semi-deviations are computed causally over already-closed bars, the indicator does not repaint. Notes and limitations - Uses simple close-to-close returns, not full bar range, so a large intrabar spike that closes back near the open contributes little - this measures directional drift noise, not intrabar wick activity. - Both semi-deviations divide by the full InpPeriod (the standard semi-deviation convention), not just the count of same-sign returns, so a period with very few negative returns will show a naturally small downside reading rather than an inflated one. - Needs InpPeriod + 2 bars of history before the first reading; earlier bars are intentionally left empty. - This is a volatility-shape diagnostic, not a signal generator - a skew reading says nothing about direction of the next move, only about which side has recently been noisier.

Indicator · MT4 · v1.0 · Free

Tags: ATR · MT4 Indicator · MQL4 Source Code

MetaTrader 4 & 5 indicators · PolyMaria