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.

Related terms

The whole glossary · Investing tools