ChaikinVolatility

Chaikin Volatility — the rate of change of a smoothed high-low spread; is the trading range widening or narrowing?

Quick reference

Field	Value
Family	Volatility & Bands
Input type	Candle (uses high, low)
Output type	f64
Output range	unbounded around zero (percent)
Default parameters	ema_period = 10, roc_period = 10 (Python)
Warmup period	ema_period + roc_period
Interpretation	Positive = ranges expanding, negative = ranges contracting.

Formula

spread_t   = high_t − low_t
smoothed_t = EMA(spread, ema_period)_t
ChaikinVol = 100 · (smoothed_t − smoothed_{t−roc_period}) / smoothed_{t−roc_period}

Marc Chaikin's volatility measure tracks not the level of the trading range but how fast it is widening or narrowing. The bar's high-low spread is EMA-smoothed, then run through a rate-of-change: a rising value means ranges are expanding (often near a market top, as fear spikes), a falling value means they are contracting (a quiet, complacent market). The classic configuration smooths the spread with a 10-period EMA and takes its 10-period rate of change.

Parameters

• ema_period — the EMA that smooths the high-low spread (10).
• roc_period — the rate-of-change lookback over the smoothed spread (10).

ChaikinVolatility::classic() returns the (10, 10) configuration.

Inputs / Outputs

From crates/wickra-core/src/indicators/chaikin_volatility.rs:

use wickra::{Indicator, ChaikinVolatility, Candle};
// ChaikinVolatility: Input = Candle, Output = f64
const _: fn(&mut ChaikinVolatility, Candle) -> Option<f64> = <ChaikinVolatility as Indicator>::update;

ChaikinVolatility is a candle-input indicator that reads high and low. Python's streaming update accepts a 6-tuple or a dict; the batch helper takes high, low numpy arrays. Node and WASM expose update(high, low) and the matching batch.

Warmup

ChaikinVolatility::classic().warmup_period() == 20. The EMA emits at candle ema_period; the rate-of-change then needs roc_period more smoothed values.

Edge cases

• Constant range. A constant high-low spread smooths to a constant EMA, whose rate of change is 0.
• Expanding range. A monotonically widening range reads positive.
• Reset. cv.reset() clears the inner EMA and ROC.

Examples

Rust

use wickra::{BatchExt, Candle, Indicator, ChaikinVolatility};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let mut cv = ChaikinVolatility::new(10, 10)?;
    // A constant 2-wide range -> constant EMA -> zero rate of change.
    let candles: Vec<Candle> = (0..40)
        .map(|i| {
            let base = 100.0 + i as f64;
            Candle::new(base, base + 1.0, base - 1.0, base, 1.0, i).unwrap()
        })
        .collect();
    println!("{:?}", cv.batch(&candles).last().unwrap());
    Ok(())
}

Output:

Some(0.0)

Python

import numpy as np
import wickra as ta

cv = ta.ChaikinVolatility(10, 10)
n = 40
base = np.arange(n, dtype=float) + 100.0
print(cv.batch(base + 1.0, base - 1.0)[-1])

Output:

0.0

Node

const ta = require('wickra');
const cv = new ta.ChaikinVolatility(10, 10);
const base = Array.from({ length: 40 }, (_, i) => 100 + i);
const out = cv.batch(base.map((b) => b + 1), base.map((b) => b - 1));
console.log(out[out.length - 1]);

Output:

0

Interpretation

A rising Chaikin Volatility warns that ranges are expanding fast — Chaikin associated sharp rises with market tops, where panic widens bars. A low or falling reading is the calm, range-contracting market that often precedes a move. It complements Atr: ATR gives the level of volatility, Chaikin Volatility gives its momentum.

Common pitfalls

• Reading it as a volatility level. It is a rate of change — zero means steady ranges, not zero volatility.
• Feeding it scalar prices. It needs the high/low bar.

References

Marc Chaikin's Chaikin Volatility; the EMA-of-spread rate-of-change definition here is the standard one.

See also

• Indicator-Atr — the level of per-bar volatility.
• Indicator-TrueRange — raw single-bar range.
• Indicators-Overview — the full taxonomy.