Volatility Stop

get_volatility_stop(quotes, lookback_periods=7, multiplier=3)


name type notes
quotes Iterable[Quote] Iterable of the Quote class or its sub-class.
See here for usage with pandas.DataFrame
lookback_periods int, default 7 Number of periods (N) ATR lookback window. Must be greater than 1.
multiplier float, default 3 ATR multiplier for the offset. Must be greater than 0.

Historical quotes requirements

You must have at least N+100 periods of quotes to cover the convergence periods. Since the underlying ATR uses a smoothing technique, we recommend you use at least N+250 data points prior to the intended usage date for better precision. Initial values prior to the first reversal are not accurate and are excluded from the results. Therefore, provide sufficient quotes to capture prior trend reversals.

quotes is an Iterable[Quote] collection of historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.



Convergence warning: The first N+100 periods will have decreasing magnitude, convergence-related precision errors that can be as high as ~5% deviation in indicator values for earlier periods.


name type notes
date datetime Date
sar float, Optional Stop and Reverse value contains both Upper and Lower segments
is_stop bool, Optional Indicates a trend reversal
upper_band float, Optional Upper band only (bearish/red)
lower_band float, Optional Lower band only (bullish/green)

upper_band and lower_band values are provided to differentiate bullish vs bearish trends and to clearly demark trend reversal. sar is the contiguous combination of both upper and lower line data.


See Utilities and Helpers for more information.


from stock_indicators import indicators

# This method is NOT a part of the library.
quotes = get_historical_quotes("SPY")

# Calculate VolatilityStop(20,2.5)
results = indicators.get_volatility_stop(quotes, 20, 2.5)

About Volatility Stop

Created by J. Welles Wilder, Volatility Stop, also known his Volatility System, is an ATR based indicator used to determine trend direction, stops, and reversals. It is similar to Wilder’s Parabolic SAR and SuperTrend. [Discuss] 💬