CATEGORY

Volatility nodes

20 Volatility building blocks in the Algovex node library. Each is a node you can drop on the visual canvas, connect into a strategy, backtest and export. No code required.

  • ATR

    Average True Range — measures volatility based on true range. Uses Wilder smoothing. The high_volatility and expanding triggers fire rising-edge when an ADAPTIVE volatility regime (the ATR reading vs its own EMA baseline) first turns high, so they are sparse and meaningful on any instrument or timeframe. Used for stop sizing and volatility filtering.

  • Bollinger Bands

    SMA ± N standard deviations. Shows upper, middle (basis), and lower bands with filled area. Includes %B, bandwidth, and squeeze detection.

  • Chaikin Volatility

    Measures the rate of change of the EMA-smoothed trading range (high minus low). Rising values indicate expanding volatility; falling values indicate contraction.

  • Donchian Channels

    Highest high / lowest low over N bars forming a breakout channel. Used in Turtle trading and trend-following systems.

  • Donchian Width

    Width of the Donchian channel (highest high - lowest low) with percent normalization. Expanding and contracting triggers use an adaptive/relative volatility regime (width vs its own recent baseline with hysteresis), not a fixed bar-to-bar compare.

  • Garman-Klass Volatility

    OHLC-based volatility estimator more efficient than close-to-close.

  • Historical Volatility

    Annualized standard deviation of logarithmic returns. Options-style volatility measurement with an adaptive (relative-to-baseline) regime classification.

  • Keltner Channels

    EMA-based channel with ATR bands. Smoother than Bollinger Bands. Used for trend direction and squeeze detection.

  • Keltner Width

    Width of Keltner Channel as percentage of middle band. The expanding and contracting triggers fire rising-edge off an ADAPTIVE width regime (channel width vs its own EMA baseline), so they are sparse and meaningful on any instrument or timeframe.

  • NATR

    Normalized ATR expressed as percentage of price. Useful for cross-asset volatility comparison.

  • Parkinson Volatility

    Extreme-value volatility estimator using high-low range. More efficient than close-to-close.

  • Price Envelope

    Moving average plus/minus percentage bands. Creates fixed-width channel around MA.

  • Rogers-Satchell Volatility

    Volatility estimator that accounts for drift. More efficient than Parkinson.

  • Standard Deviation

    Price standard deviation over a lookback period. Measures dispersion from mean with Z-score and an ADAPTIVE volatility regime (stddev vs its own EMA baseline). high_vol fires rising-edge when the regime turns high; zscore_extreme fires rising-edge when the Z-score first exceeds the extreme threshold and is direction-coded.

  • Standard Error Bands

    Linear regression channel using standard error. Narrows when price follows regression closely, widens during erratic movement.

  • STARC Bands

    Stoller Average Range Channel: SMA +/- multiplier * ATR.

  • True Range

    Raw (unsmoothed) True Range: max(H-L, |H-prevC|, |L-prevC|).

  • Volatility Price Channel

    HH/LL Donchian channel (lagged by Offset, default 1) with width-as-volatility metrics AND trade triggers: breakout / band_cross on a close beyond the channel, plus squeeze / expansion on the width regime. Also outputs widthRegime, atrNormalizedWidth, widthPercentile, expansionRate for use as a regime filter / confluence input.

  • Volatility Ratio

    VR = TrueRange / EMA(TrueRange). Oscillates around 1.0 with a drawn Expand line (expandThreshold) and a symmetric Contract line (1/expandThreshold). Every trigger fires on a CROSS of one of those visible lines: expansion = cross up through Expand (vol surge), contraction = cross down through Contract (vol drying up), both = either.

  • Yang-Zhang Volatility

    Most efficient combined estimator: overnight + open-to-close + Rogers-Satchell.

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