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)")
xPrice = close - nz(close[1])

d =  xPrice < 0 ?  log(close/nz(close[1])) : 0
v = 0.0
v := lambda*nz(v[1])+ (1-lambda)*pow(d,2)
dhv = sqrt(v)*sqrt(Annual)*100

u =  xPrice > 0 ?  log(close/nz(close[1])) : 0
v2 = 0.0
v2 := lambda*nz(v2[1])+(1-lambda)*pow(u,2)
uhv = sqrt(v2)*sqrt(Annual)*100


plot(dhv,color=color.red)
plot(uhv,color=color.green)