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Our New Historical Volatility Indicator

by Sentimentrader
2026-04-16
short-term and 60-day medium-term metrics. The tools support custom composite indicators and targeted stock screening to help traders track market turbulence and refine strategies.

Key points:

  • Traders can now measure true market turbulence with our new Historical Volatility indicators, built on daily log returns.
  • These metrics cover both short-term and medium-term historical volatility.
  • Users can now seamlessly build custom composite indicators using these new volatility metrics.

A New Perspective on Volatility

Why log returns? Because they normalize price changes across different price levels a 10 move on a 100 stock differs from a 10 move on a 1000 stock. Assuming Pt is the latest daily closing price, the daily log return Rt is expressed as:

Rt = ln(Pt / Pt-1)

Once we have a continuous series of returns, we calculate the sample standard deviation σ over a specific time window N (for this tool, we mainly focus on 20-day and 60-day periods). This step measures how wildly actual returns are deviating from their average, represented mathematically as:

σ = √[ 1/(N-1) ∑(Ri - Ravg)2 ]

Here, Ravg represents the average return within that specific window. Finally, since there

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Risk Disclosure: The information and tools provided are for research and analytical purposes only and are not intended as investment advice. Market analysis involves uncertainty, and outcomes may differ from expectations. Users should conduct their own due diligence and consider their individual circumstances before making any financial decisions. Past performance is not necessarily indicative of future results.

Hypothetical Performance Disclosure: Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results.

Testimonial Disclosure: Testimonials appearing on this website may not be representative of other clients or customers and is not a guarantee of future performance or success.