Volatility Zero-Trend C-C¶
| Name | Type | Prerequisite | Use Cases |
|---|---|---|---|
| Volatility Zero-Trend C-C (Z-Trend Vol) | Volatility | OHLC Data | Useful for high-frequency data where drift is negligible. |
Definition¶
A variance calculation that assumes the mean return (drift) is zero.
Mathematical Equation¶
\[\n\sqrt{\frac{1}{n} \sum (\ln(\frac{C_t}{C_{t-1}}))^2}\n\]
Special cases¶
- Maximum possible value: Unbounded
- Minimum possible value: 0
- Behavior: Moves independently measuring close-to-close variance without assuming trend.
Visualization¶
Trading Significance¶
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Category: Volatility
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Use Case: Useful for high-frequency data where drift is negligible.