What is Volatility Close-to-Close?
Volatility Close-to-Close measures how much price has been varying from one close to the next. It takes the log return of each bar, measures how widely those returns spread around their own average over the last Length bars, and scales the result to a year. The line sits in its own pane.
It uses only the close, so it cannot see how far price travelled inside a bar. It describes past variation and says nothing about direction or future moves.
How to use Volatility Close-to-Close
- Rising line. Returns from bar to bar have become more spread out. Volatility is increasing, whichever way price is moving.
- Falling or low line. Returns are bunching together. The market is quietening.
- Reading the number. The value is a fraction of price per year, not a percentage. A reading of 0.6 means about 60% annualised volatility.
- Against the zero-trend version. Volatility Zero Trend Close-to-Close reads at or above this line on the same data. The gap between them is the window's average return, so it is widest through a strong one-way move.
These are ways to read volatility, not entry signals on their own.
Settings
| Setting | Default | What it changes |
|---|---|---|
| Length | 10 | Log returns in the window. Shorter reacts sooner and is noisier; longer is steadier and later. Minimum 2. |
| Days Per Year | 252 | The number of bars treated as one year when annualising. 252 is a trading-day count; crypto trades every day, so 365 is the natural figure on a daily chart of a crypto market. It only rescales the line. From 1 to 100000. |
Adjust the window and the annualisation factor in the indicator settings.
Calculation
Each bar's log return is the natural log of its close over the previous close. The indicator takes the standard deviation of those returns and annualises it:
r = ln(close / previous close)
sd = sqrt( sum of (r - mean r)^2 / 10 ) over the last 10 returns
vol = sd * sqrt(252)Log returns are used so that a rise and the fall that undoes it count as equal and opposite, which keeps the spread symmetric. The standard deviation divides by the number of returns, not by one fewer.
The first bar has no previous close, so it has no return; the line starts once Length returns are available. The annualisation assumes each bar is one of the Days Per Year periods. On a daily chart that holds; on an hourly chart the absolute level is not a true annual figure, although its shape over time is still useful.
With the default of 252 and a crypto market that trades every day, the line reads lower than a figure annualised with 365 by a factor of about 1.20, the square root of 365 / 252. Set Days Per Year to 365 if you want the two to agree.
Limitations
- It ignores the inside of the bar. A bar that swings wildly but closes near the previous close counts as calm. Estimators that use the high and low see more from the same bars.
- The trend is removed. Returns are measured around their own average, so a steady one-way move adds little to the reading even though price travelled a long way.
- The annual figure depends on settings and timeframe. The default of 252 suits a market with weekends off, and the scaling is right only when each bar is one Days Per Year period.
- The live candle moves. The current bar's close and return change until that bar closes.
- It is not a strategy. It measures volatility. It gives no entry, exit, sizing or risk management on its own.
Frequently asked questions
It is the standard deviation of log returns from one close to the next over a recent window, scaled to a year. It is the most common way of turning past price changes into a single volatility figure.
252 is a trading-day count and is the indicator's default. Crypto markets trade every day, so 365 is the natural figure on a daily crypto chart, and it reads about 20% higher on the same data. The choice only rescales the line; its shape is the same either way.
Yes. The indicator declares two inputs: Length, default 10 with a minimum of 2, and Days Per Year, default 252, from 1 to 100000. Open the indicator's settings on the chart to change them.
No. Each value uses only that bar and the ones before it, so values on closed bars are not revised. The current candle's reading moves while that candle is live and settles when it closes.
This indicator uses only the close of each bar. Volatility O-H-L-C also uses the open, high and low, so it gets a steadier estimate from the same number of bars, at the cost of assuming price moves inside each bar in a particular way. Close-to-close makes no such assumption.
Use the Add to chart button at the top of this page. It opens BTC/USDT on Binance in the Altrady Charts terminal with the built-in Volatility Close-to-Close already applied. On any other market, open the indicator picker on the chart and choose Volatility Close-to-Close from the Volatility group.