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Forex Daily Volatility

by Brian Brown, 3209 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.


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Type: Download Script

Object ID: 897


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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.