Volatility Of Volatility Meter

ATR tells you how big price moves have been recently. It does not tell you whether that level of volatility has itself been steady or erratic - a market can sit at a moderate, stable ATR for weeks, or swing between calm and violent readings while averaging out to the same moderate ATR level over the same period. This indicator measures that second-order behaviour directly: it builds a rolling ATR series (InpAtrPeriod), then computes the standard deviation of that ATR series over a further trailing window (InpVolOfVolWindow) and plots the result. A flat, low vol-of-vol line means the market's own risk level has been changing in a steady, predictable way even if ATR itself is rising or falling - useful for anyone sizing stops or positions off a moving ATR figure, since a steady vol-of-vol means that figure is a reasonably trustworthy input from one bar to the next. A spike in vol-of-vol means the market's volatility level just became unstable in its own right, independent of whether price direction changed - the classic warning sign around a scheduled news release, a liquidity gap, or a regime break, and a reason to treat a just-computed ATR-based stop distance with more caution than usual. Notes and limitations - This is a standard deviation of ATR values, expressed in the instrument's own price units (the same units ATR itself uses) - it is not annualised or percentage-scaled, so absolute values are not comparable across symbols with different pip/point sizes; compare the trend on one symbol over time, not the level across symbols. - Needs InpAtrPeriod + InpVolOfVolWindow + 2 bars of history before it starts plotting. - ATR itself already smooths true range with its own period, so InpVolOfVolWindow is measuring instability in an already-smoothed series, not in raw bar-to-bar range - this is intentional and matches how ATR is normally used as an input elsewhere.

Indicator · MT5 · v1.0 · Free

Tags: ATR · MT5 Indicator · MQL5 Source Code

MetaTrader 4 & 5 indicators · PolyMaria