BitMEX_Sam

Pip Foundry - BitMEX BVOL24H Index

Courtesy of Pip - uses BVOL calculation from https://www.bitmex.com/app/index/.BVOL24H%3A

P = Bitfinex Last Price (taken at 5 minute intervals)
Stdev = Sample Standard Deviation
Ln = Natural Logarithm
Sqrt = Square             Root

.BVOL Index = Stdev(Ln(P1/P0), Ln(P2/P1), ..., Ln(P288/P287))
* Sqrt(288)
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study(title="Pip Foundry - BitMEX BVOL24H Index", shorttitle="Pip Foundry - BitMEX BVOL24H Index")

Src0 = security("BITFINEX:BTCUSD", "5", close, true)

SampleSize = 288

Per = isintraday or isdaily and interval == 1 ? 1 : 5

Volatility = 100 * stdev(log(Src0[1] / Src0), SampleSize) * sqrt(SampleSize / Per)

plot(Volatility, color=red)
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