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Volatility Estimator Surface
NewFreeFive OHLC volatility estimators and their disagreement
Favourites and Admin's Choice analyses are listed in the terminal's indicators window under Analysis Marketplace.
- Language
- QuaScript
- Engine
- Native C++, incremental on live ticks
- Rendering
- WebGPU + Canvas
- Placement
- Own pane
- Settings
- 4
- Plots
- 7
- Lines of code
- 55
- Source
- presets/analysis/gpu/volatility_estimator_surface.qs
About
Five annualised volatility estimators on one surface: close-to-close, Parkinson (high-low), Garman-Klass (OHLC), Rogers-Satchell (drift-free) and Yang-Zhang (gaps plus intraday). The estimators are sorted every bar and the layers between them are filled with an edge-anchored gradient whose colour shows how far they disagree. Reading: a thin, dark surface = estimators agree and the volatility reading is reliable; a wide, hot surface = they disagree, which means overnight gaps (close-to-close and Yang-Zhang above the range estimators) or intraday stress (range estimators above). Signals: disagreement spikes and vol-of-vol bursts. Method: Parkinson (1980), Garman and Klass (1980), Rogers and Satchell (1991), Yang and Zhang (2000).
What it draws
Own pane · counted from the engine's plot table and the script's draw calls
Series
- Line5 visible · 2 helperHighest estimateMean estimateLowest estimateClose-to-closeYang-Zhang
- Band fills (render.band calls)2
Signal marks
Drawings and chart effects
- Dashboard tables1 created
How it runs
From source to the live chart, for this script
- 1Compile
The QuaScript compiler checks the 55-line script (45 lines of code) and lowers it for the native C++ engine. Compile errors point at the exact line and column.
- 2Place
The header sets
pane = hpanewithheight = 0.28(28% of the chart), so the output gets its own pane under the price with its own scale. - 3Compute
The script runs once per bar, oldest to newest. 1
persistvariable keeps state (objects, counters) across bars. - 4Stay live
On the terminal the script keeps one live engine session: a tick rolls the forming bar back to its checkpoint and re-executes only that bar, and new bars are appended, so history is never rerun while the market moves. The live result is identical to a full run.
- 5Render
The results are handed to the chart: series on WebGPU, drawings on the Canvas 2D QuaScript layer.
- 6Tune
4 settings in 2 groups appear in the chart's settings dialog. Changing one reruns the engine with the new value.
Rendering
Hybrid: this script draws on 2 surfaces at once
The browser's modern GPU API. The chart uploads every line, band and mark of the script as GPU buffers and draws them in one pass, so dense heatmaps and dozens of series stay smooth while you pan and zoom. Without WebGPU support the chart's GPU layer falls back to WebGL 2, then Canvas 2D.
- • 7 plotted series
- • 2 band fill calls
- • 3 signal mark types
Chosen by render = webgpu in the header.
GPU drawing through WebGL 2, available in every current browser. Used for chart-native profiles and for series that ask for it with backend = "webgl". Fast for large numbers of bars and wide fills.
The browser's 2D drawing API. Text-heavy and object-style output (dashboard tables, zones, tags, segments), candle colors and backgrounds are painted by the QuaScript layer, a Canvas 2D surface over the chart. Series use Canvas when the script's header does not ask for a GPU.
- • 1 dashboard tables (QuaScript layer)
Alerts
1 alert rule declared with alert.rule
Volatility estimators diverged: check for gaps or intraday stress
Settings
4 settings, grouped as in the chart's settings dialog
| Setting | Type | Default | Range / options | Id |
|---|---|---|---|---|
| Estimator window | Integer | 20 | 5 – 500 | estimator_window |
| Bars per year | Integer | 252 | 1 – 500000 | bars_per_year |
| Setting | Type | Default | Range / options | Id |
|---|---|---|---|---|
| Disagreement spike | Number | 0.35 | 0.05 – 2, step 0.05 | disagreement_spike |
| Vol-of-vol burst | Number | 0.11 | 0.05 – 2, step 0.05 | vol_of_vol_burst |
Script
packages/quascript/presets/analysis/gpu/volatility_estimator_surface.qs
Header
analysis "Volatility Estimator Surface" {
pane = hpane
height = 0.28
render = webgpu
short_title = VES
precision = 1
}- Total lines
- 55
- Code lines
- 45
- Comment lines
- 9
- Helper functions
- 0
- Loops
- 0
- Persistent variables
- 1
- Higher-interval feeds
- 0
- Engine plots
- 7
Built with
ta.smastat.stdevhft.garman_klasshft.parkinsonhft.realized_volhft.rogers_satchellhft.yang_zhangmath.maxmath.minviz/premium
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