Overview:
VIDYA (Volatility Index Dynamic Average), developed by Chande, is a moving average derived from linear regression R2.
Interpretation:
A Moving Average is most often used to average values for a smoother representation of the underlying price or indicator. Because VIDYA is a derivative of linear regression, it quickly adapts to volatility.
Parameters:
str Source
int Periods
dbl R2 Scale
R2Scale is a double value specifying the R-Squared scale to use in the linear regression calculations.
Chande recommends a value between 0.5 and 0.8 (default value is 0.65).
See Also