Pip Foundry - BitMEX BVOL7D Index — Indicator by PipFoundry

volatility bitcoin bitfinex bitmex okcoin indicator

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A quick indicator in response to the product released this month from BitMEX - a Weekly settled volatility index for bitcoin!

uses BVOL calculation from

Open-source script

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.

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//Pip Foundry - BitMEX BVOL24H Index
//
//BVOL is traded and based on a 5 minute timeframe and this indicator must be used on a 5 minute chart as coded.
//
//P = Bitfinex Last Price (taken at 5 minute intervals)
//Stdev = Sample Standard Deviation
//Ln = Natural Logarithm
//Sqrt = Square Root
//
//.BVOL7D Index = Stdev(Ln(P1/P0), Ln(P2/P1), ..., Ln(P2016/P2015))
// * Sqrt(2016)
study(title="Pip Foundry - BitMEX BVOL7D Index", shorttitle="Pip Foundry - BitMEX BVOL7D Index")
 
Src0 = security("BITFINEX:BTCUSD", "5", close, true)
 
SampleSize = 2016
 
Per = isintraday or isdaily and interval == 1 ? 1 : 5
 
Volatility = 100 * stdev(log(Src0[1] / Src0), SampleSize) * sqrt(SampleSize / Per)

plot(Volatility, title="Volatility", color=#FF7F00, linewidth=2)