The Volatility Arbitrage oscillator displays the price rate of change chart and the corridor of the standard deviation of the rate.
Breakdown of the corridor edges indicates an increase in volatility.
There are four input parameters:
- ROC period – period for calculating the price rate of change
- Deviation period – deviation calculation period
- Deviation multiplier – the width of the deviation channel
- Applied price
Calculation:
ROC = 100.0*(Applied price / Applied price[ROC period] - 1.0)
Top = Dev * Deviation multiplier Bottom =-Top
where:
Dev = StdDev(ROC, Deviation period, MODE_SMA)
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