Rogers–Satchell volatility
A range-based volatility estimate that stays accurate when the price is trending.
Formula
σ² = mean over N days of ln(H ÷ C) × ln(H ÷ O) + ln(L ÷ C) × ln(L ÷ O) Volatility = √σ² × √252
How to use it
Stays accurate when the price is trending.
In Kereon
Investing · price record. Over 20 sessions, annualized.
Also called: rogers-satchell, rogers satchell.