チャート
チャイキン ボラティリティ (CV)
チャイキン ボラティリティ (CV、Chaikin Volatility) は、マーク チャイキンにより考案された指数であり、変化数式の標準率を使って、高値と安値の差分を比較することにより、バー範囲を使用してボラティリティを測定します。チャイキン曲線は -100% から +100% の差分の間を振動し、0 以下の値は低いボラティリティを、0 以上の値は高いボラティリティを示します。
Configuration Options
- Period (ピリオド): 計算で使用されるバー数。
- Moving Average Type: Type of moving average to use in the calculations:
- Simple: Mean (average) of the data.
- Exponential: Newer data are weighted more heavily geometrically.
- Time Series: Calculates a linear regression trendline using the “least squares fit” method.
- Triangular: Weighted average where the middle data are given the most weight, decreasing linearly to the end points.
- Variable: An exponential moving average with a volatility index factored into the smoothing formula. The Variable Moving average uses the Chande Momentum Oscillator as the volatility index.
- VIDYA: An exponential moving average with a volatility index factored into the smoothing formula. The VIDYA moving average uses the Standard Deviation as the volatility index. (Volatility Index DYnamic Average).
- Weighted: Newer data are weighted more heavily arithmetically.
- Welles Winder:The standard exponential moving average formula converts the time period to a fraction using the formula EMA% = 2/(n + 1) where n is the number of days. For example, the EMA% for 14 days is 2/(14 days +1) = 13.3%. Wilder, however, uses an EMA% of 1/14 (1/n) which equals 7.1%. This equates to a 27-day exponential moving average using the standard formula.
- Hull: The Hull Moving Average makes a moving average more responsive while maintaining a curve smoothness. The formula for calculating this average is as follows: HMA[i] = MA( (2*MA(input, period/2) – MA(input, period)), SQRT(period)) where MA is a moving average and SQRT is square root.
- Double Exponential: The Double Exponential moving average attempts to remove the inherent lag associated to Moving Averages by placing more weight on recent values.
- Triple Exponential: TBD
- Simple
- Exponential
- Time Series
- Triangular
- Variable
- VIDYA
- Weighted
- Welles Winder
- Hull
- Double Exponential
- Triple Exponential
- 変化率 (ROC): TBD
- Color Selectors (配色セレクター): グラフ要素に使用する配色。
- Display Axis Label (軸ラベルの表示): Y 軸に最新値を表示するかどうか。
数式
\[Chaikin\;Volatility = \left ( \frac{\left (High-Low\;Average)_{current} - (High-Low\;Average)_{n-periods\;ago} \right )}{(High-Low\;Average)_{n-periods\;ago}} \right )\times 100\]
該当時:
\[(High-Low\;Average)= Exponential\;moving\;average\;of\;(High - Low)\; for\;n\text{-}periods\]