chaikvolat

Chaikin volatility

Using a fints object for the Data argument of chaikvolat is not recommended. Use a matrix, timetable, or table instead for financial time series. For more information, see Convert Financial Time Series Objects fints to Timetables.

Syntax

volatility = chaikvolat(Data)

volatility = chaikvolat(___,Name,Value)

Description

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

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

Examples

Calculate the Chaikin Volatility for a Stock

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')

Input Arguments

Data — Data with high, low, open, close information

matrix | table | timetable

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)

NumPeriods — Period difference

10 (default) | positive integer

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

Data Types: double

WindowSize — Length of the exponential moving average in periods

10 (default) | positive integer

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

volatility — Chaikin volatility

matrix | table | timetable

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

More About

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