Forex Daily Volatility

by Brian Brown, 846 days ago

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This item downloads daily volatility data for several currency pairs including the majors and popular crosses.
The volatility in measured in pips and it corresponds to the daily movement of a $100.000 Forex pair contract. It is calculated by taking the average of the high and low prices of the currency pair.

The data is available starting from 2007 and it is stored in a database called "volatility" and under the column "pips". It can be accessed and plotted on a chart or used as a trading rule with the function "GetData".

Example: GetData("volatility", "pips") > 100

When applied to EURUSD currency pair, the above rule returns a signal when the EURUSD daily volatility exceeds 100 pips.

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Here are the currency pairs whose daily volatility data is available: EURUSD, GBPUSD, USDCHF, USDJPY, EURGBP, EURCHF, EURJPY, GBPCHF, GBPJPY, CHFJPY, USDCAD, EURCAD, GBPCAD, CADCHF, CADJPY, AUDCAD, AUDUSD, EURAUD, AUDGBP, AUDCHF, AUDJPY, EURNZD, NZDUSD, GBPNZD, NZDCHF, NZDJPY, AUDNZD, NZDCAD, XAUUSDOZ, XAGUSDOZ.