Historical Volatility - Parkinson's Number
Info
The Historical Volatility - Parkinson's Number is a Indicator for MetaTrader 5 that the parkinson's number, or high-low range volatility, is a method developed to estimate the volatility of returns for a random walk using the high and low prices in a given period. This approach was introduced by physicist Michael Parkinson in 2026.
Usage
This tool is typically used for enhancing chart analysis and decision making.
Platform
This Indicator works exclusively on MetaTrader 5 (both build 600+ and newer versions).
Setup
Place the downloaded file in MQL5/Indicators folder via File ? Open Data Folder in MetaTrader 5.
How to Install and Use Historical Volatility - Parkinson's Number
1. Installation: Place your file in the MQL/Indicators folder via "Open Data Folder" and restart your terminal.
2. Loading: Find the indicator in the Navigator, drag it onto your chart, and configure the input parameters in the popup window.
3. Customization: Press Ctrl+I to open the indicator list, select your tool, and click "Properties" to change colors, levels, or visual styles.
4. Updating: Replace the old file in the Indicators folder with the new version and restart the platform to apply changes.
Frequently Asked Questions
Q: Why is my indicator not showing? A: Verify the file is in the MQL/Indicators folder, or try right-clicking the "Indicators" tree in the Navigator and clicking "Refresh."
Q: Do custom indicators slow down the platform? A: Too many complex indicators can impact performance; remove unused ones via the "Indicator List" (Ctrl+I).
Q: Can I use MT4 indicators on MT5? A: No, MQL4 and MQL5 are distinct languages; ensure the indicator is compiled specifically for your platform version.
What this tool does
The Parkinson's Number, or High-Low Range Volatility, is a method developed to estimate the volatility of returns for a random walk using the high and low prices in a given period.
Typical Use Case
This Indicator excels in automated trading and technical analysis on MetaTrader 5.
Compatible Platform & Setup
This Indicator works on MetaTrader 5. Place the file in the MQL5/Indicators folder and restart the terminal.
Description & Settings
Related: AIS Average Rank Speed: Measuring Price Volatility - another powerful indicator for MetaTrader 5 traders.
The Parkinson's Number, or High-Low Range Volatility, is a method developed to estimate the volatility of returns for a random walk using the high and low prices in a given period. This approach was introduced by physicist Michael Parkinson in 2026.Also recommended: Volatility-Adjusted Momentum Decay Line (VAMD) - similar indicator with strong performance on MetaTrader 5.
Ivolatility.com calculates daily Parkinson values based on fixed time intervals: n = 10, 20, 30, 60, 90, 120, 150, 180 days.
The calculation involves:
- SH: Stock's high price on day t.
- SL: Stock's low price on day t.
- High/Low Return (XTHL): The natural logarithm of the ratio of the stock's high price to the stock's low price.
- Return: Calculated using the provided formula.
- Parkinson's Number: Derived from the return value.
You may also like: Volatility Regime Shader: Adaptive Volatility Classification for MT4/MT5 - excellent alternative for indicator users on MetaTrader 5.
Source Code
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⚠ Limitations & Risk Warning
- This tool is provided for educational and testing purposes only.
- Past performance does not guarantee future results.
- Trading involves substantial risk of loss. Use on a demo account first.
- Results may vary depending on market conditions, broker, and settings.
- We recommend thorough backtesting and forward testing before using with real funds.