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chaikvolat

Chaikin volatility

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Syntax

volatility = chaikvolat(Data)
volatility = chaikvolat(___,Name,Value)

Description

example

volatility = chaikvolat(Data) calculates the Chaikin volatility from a data series of high and low stock prices.

example

volatility = chaikvolat(___,Name,Value) adds optional name-value pair arguments.

Examples

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Open Live Script

Load the file SimulatedStock.mat, which provides a timetable (TMW) for financial data for TMW stock.

load SimulatedStock.mat
volatility = chaikvolat(TMW,'NumPeriods',14,'WindowSize',14);
plot(volatility.Time,volatility.ChaikinVolatility)
title('Chaikin Volatility for TMW')

Figure contains an axes object. The axes object with title Chaikin Volatility for TMW contains an object of type line.

Input Arguments

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Data with high, low, open, close information, specified as a vector, matrix, table, or timetable. For matrix input, Data is an M-by-2 matrix of high and low prices stored in the first and second columns. Timetables and tables with M rows must contain variables named 'High' and 'Low' (case insensitive).

Data Types: double | table | timetable

Name-Value Arguments

Specify optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Before R2021a, use commas to separate each name and value, and enclose Name in quotes.

Example: volatility = chaikvolat(TMW,'NumPeriods',10,'WindowSize',10)

Period difference, specified as the comma-separated pair consisting of 'NumPeriods' and a scalar positive integer.

Data Types: double

Length of the exponential moving average in periods, specified as the comma-separated pair consisting of 'WindowSize' and a scalar positive integer.

Data Types: double

Output Arguments

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Chaikin volatility, returned with the same number of rows (M) and the same type (matrix, table, or timetable) as the input Data.

More About

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Chaikin volatility

Chaikin volatility calculates the Chaikin's volatility from the series of high and low stock prices.

By default, Chaikin's volatility values are based on a 10-period exponential moving average and 10-period difference.

References

[1] Achelis, S. B. Technical Analysis from A to Z. Second Edition. McGraw-Hill, 1995, pp. 304–305.

Version History

Introduced before R2006a

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See Also

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