ChaikinVolatility
How much the typical one-minute bar range has widened or narrowed, as a fraction of its past size.
The indicator averages each bar's high-low range with an exponential moving average over ema_window bars, then compares that average with its value roc_window bars earlier: (now - then) / then. It is the textbook Chaikin Volatility, but returned as a fraction, not a percent, so 0.25 means the range average is 25% above its level roc_window bars ago. The first roc_window bars are blank, and the average starts from the first bar's range with no warm-up, so early readings lean on that start.
How to read it
- The line sits in its own pane below the price, floored at -1 and with no ceiling. Zero means the average bar range is unchanged from roc_window bars earlier.
- Above zero the bars are getting wider; below zero they are narrowing. On the September 2026 SPY sample the median was -0.05, so the range shrank more often than it grew, and 90% of readings fell between -0.65 and 2.30.
- A rise from deep negative toward 1 marks the range waking up after a quiet stretch. Read the band, not single spikes.
What it outputs
- Range change
- How much the averaged one-minute high-low range has grown or shrunk over the last roc_window bars, as a fraction: 0.5 means 50% higher. Floor is -1, no ceiling.
Settings
- ema_window
- Length of the EMA that smooths each bar's high-low range (weight 2/(N+1)). Lowering it to 2 to 5 makes the line track single bars and swing more; raising it to 30 or more smooths the range and slows the response.
- roc_window
- How many bars back the smoothed range is compared against. Lowering it to 3 to 5 compares minutes apart, so the line flips often; raising it to 60 or more compares against an hour or more ago and moves slowly.
Pitfalls
- Blind to direction. A widening range can come with a rally or a sell-off, so pair it with a trend or price read before acting on it.
- Spikes come from a near-zero base: the sample's maximum was about 1544, while 95% of readings stayed below 2.30. Judge the band, not single prints.
- The first roc_window bars are blank, and the average seeds from the first bar's range with no warm-up, so early readings in a chart are less reliable.