indicator · own pane · open source
Parkinson Volatility
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About
Parkinson Volatility uses the high-low range instead of just close-to-close — typically 5–10× more efficient than HV because each bar contributes a real range number.
- More stable than HV during low-print sessions.
- Annualised (×√252) so it lives on the same scale as HV.
Source code
//@version=5
indicator("Parkinson Volatility", overlay=false)
len = input.int(20, "Lookback", minval=2, maxval=252)
parkX = math.pow(math.log(high / low), 2)
parkSum = ta.cum(parkX) - ta.cum(parkX)[len]
pv = math.sqrt(252 / (4 * len * math.log(2)) * parkSum)
p_Parkinson = plot(pv, "Parkinson", color=color.purple, linewidth=2)
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