Great, exactly what I wanted.
No, it isn't. This volatility index does not meet your criterion:
We need some formula that will not be distorted if value rises significantly.
The quirk of standard deviations is that they too increase with a increase in value. Indeed, because these are
linear standard deviations, they assign greater volatility to upwards movements than downwards ones. A standard deviation should not be used in raw form with inherently geometric data.
Instead, volatility must be calculated on the natural logarithm of the price.
Chaikin volatility is an example of a calculation that comes close, working with exponential moving averages (but giving distorted results when there is a huge change in the time period).
Are you sure that all those antiquated concepts of open, close, daily high, and daily low are even relevant for a system that runs 24h continuously?
According to
barchart.comThe basic premise of the Accumulation/Distribution Line is that the degree of buying or selling pressure can be determined by the location of the close, relative to the high and low for the corresponding period. There is buying pressure when a stock closes in the upper half of a period's range and there is selling pressure when a stock closes in the lower half of the period's trading range.
The Chaikin Oscillator is simply the Moving Average Convergence Divergence indicator (MACD) applied to the Accumulation/Distribution Line. The formula is the difference between the 3-day exponential moving average and the 10-day exponential moving average of the Accumulation/Distribution Line. Just as the MACD-Histogram is an indicator to predict moving average crossovers in MACD, the Chaikin Oscillator is an indicator to predict changes in the Accumulation/Distribution Line.
Which sounds very nice except that when there's no such thing as "a daily trading period" -- trading is spread across multiple time zones. Cherry-picking open/close times to fit a formula is going to give you aliasing errors.
That's not a concern with the Chaikin, because it is averaged over so long that the close time doesn't matter much. It is a concern with daily time intervals—however, there is nothing stopping one from using a longer time interval.
