The Volatility & Statistics Library: Squeeze, Chandelier, Z-Score & More

Volatility tools answer three questions: how much is the market moving, is it about to move, and where should my stop live? Alongside ATR, Bollinger Bands, and StdDev, the Setup.Cash engine ships this full library — all usable in the strategy builder and Indicators Lab.

Compression & Expansion

• TTM Squeeze / Squeeze Pro: fires when Bollinger Bands compress inside Keltner Channels — the classic "coiled spring" setup; Pro grades the squeeze intensity.
• Mass Index: detects range-bulge reversals without caring about direction.
• Aberration Bands / Acceleration Bands: alternative volatility envelopes for breakout and reversion logic.
• Holt-Winters Channel: forecast-model channel with adaptive level and trend.

Trailing Stops

• ATR Trailing Stop: the workhorse volatility trail — see our stop-loss guide.
• Chandelier Exit: hangs the stop N ATRs below the highest high since entry — locks trends in from the top down.
• Chande Kroll Stop: dual ATR stop lines for longs and shorts.

Regime Filters

• Choppiness Index (CHOP): 0–100 score of trendiness; high = churn, low = directional. A one-line regime gate.
• Vertical Horizontal Filter (VHF): the same question via range-versus-path math.
• Random Walk Index (RWI): is this move statistically distinguishable from a random walk?
• Normalized ATR / True Range: volatility as a percent of price (comparable across symbols) and the raw per-bar range.
• Elder Thermometer: flags abnormally hot or cold bars from range jumps.
• Ulcer Index: drawdown-depth-and-duration risk — pain measured properly, great for filtering symbols.

Rolling Statistics

• Standard Deviation / Variance: dispersion in price units and squared units.
• Z-Score: how many standard deviations price sits from its mean — the cleanest normalized stretch measure for mean reversion.
• Mean Absolute Deviation / Median / Quantile: robust statistics that shrug off outlier bars.
• Kurtosis / Skew: tail-heaviness and asymmetry of recent returns — quant-style regime context.
• Entropy: randomness of the recent price distribution.
• TOS StdDev All: regression channel with standard-deviation rails over the full window.
• Price Distance (PDIST): total path length price traveled — activity regardless of direction.

How to Use the Library

Volatility indicators rarely generate entries; they qualify them. The strongest patterns: a squeeze arming a breakout, CHOP gating a trend system, Z-Score bounding mean reversion, and Chandelier managing the exit. Layer one at a time and backtest — the drawdown line, more than the return line, is where these tools show their worth.