EWMA Directional Volatility

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Motgench

//@version=4
study("Pig Downside Upside Volatility",precision=2)
bgcolor(#000000c0)

Annual = input( 365, "Annual")
n      = input(  30, "Length")
lambda = input(0.94, "lambda (EWMA)", step=0.01)
oneMinusLambda = 1.0 - lambda

priorClose = nz(close[1], close) // nz() replaces na with 0.0, added ", close)" Divide by zero situation combined with #2
xPrice = close - priorClose
logCloseDividedPriorCLose = log(close / priorClose) // #2

d = xPrice<0.0 ? logCloseDividedPriorCLose : 0.0 // Less than: xPrice < ...
v = 0.0
v := lambda * nz(v[1]) + oneMinusLambda * pow(d, 2)
dhv = sqrt(v) * sqrt(Annual) * 100.0

u = xPrice>0.0 ? logCloseDividedPriorCLose : 0.0 // Greater than: xPrice > ...
v2 = 0.0
v2 := lambda * nz(v2[1]) + oneMinusLambda * pow(u, 2)
uhv = sqrt(v2) * sqrt(Annual) * 100.0

plot(dhv, color=color.red)
plot(uhv, color=color.green) // Was causing na for eternity