ChaikinVolatility — Chaikin Volatility

The rate of change of a smoothed high-low range: how fast the market’s daily range is expanding or contracting. Chaikin’s own reading is that a sharp rise often precedes a top, and a slow decline a bottom.

Signature

ChaikinVolatility(period, roc_period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	EMA of the high-low range. Default 10, bounds 1–200.
roc_period	int Param or literal	Yes	Lookback for the rate of change. Default 10, bounds 1–400.
on=	symbol	No	Source symbol. Defaults to the trade symbol. Reads high and low.

Formula

$$ \text{ChaikinVol} = 100,\frac{\text{EMA}(H-L)t - \text{EMA}(H-L){t-m}}{\text{EMA}(H-L)_{t-m}} $$

Warmup

roc_period + 1 bars plus the EMA’s convergence; 0 until then.

Reading the value

cv.value
cv > 25

Example

class RangeExpansionWatch(Strategy):
    """Stand aside while the range is expanding fast."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        cv = ChaikinVolatility(10, 10, on=self.trade)
        sma = SMA(50, on=self.trade)
        if cv.value < 25 and self.trade.close > sma.value and self.trade.is_flat:
            self.buy(self.trade, reason=f"Calm expansion {cv.value:.0f}")
        if cv.value > 50 and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Range exploding")

Notes

• Marc Chaikin’s volatility indicator.
• Proven by an assert-via-trade run on SPY daily (finite and in range on every bar of a 140-bar run; zero alarm trades).
• Percentage change, so it is comparable across instruments — unlike the raw range it is built from.