Pip Foundry - BitMEX BVOL24H Index
Courtesy of Pip - uses BVOL calculation from www.bitmex.com/app/index/.BVOL24H:
P = Bitfinex Last Price (taken at 5 minute intervals)
Stdev = Sample Standard Deviation
Ln = Natural Logarithm
Sqrt = Square Root
.BVOL Index = Stdev(Ln(P1/P0), Ln(P2/P1), ..., Ln(P288/P287))
* Sqrt(288)
P = Bitfinex Last Price (taken at 5 minute intervals)
Stdev = Sample Standard Deviation
Ln = Natural Logarithm
Sqrt = Square Root
.BVOL Index = Stdev(Ln(P1/P0), Ln(P2/P1), ..., Ln(P288/P287))
* Sqrt(288)
study(title="Pip Foundry - BitMEX BVOL24H Index", shorttitle="Pip Foundry - BitMEX BVOL24H Index")
Src0 = security("BITFINEX:BTCUSD", "5", close, true)
SampleSize = 288
Per = isintraday or isdaily and interval == 1 ? 1 : 5
Volatility = 100 * stdev(log(Src0[1] / Src0), SampleSize) * sqrt(SampleSize / Per)
plot(Volatility, color=red)