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πŸ“ˆ Range & volatility (drift-independent)

1 novel Β· 2 crypto-prior Β· 0 excluded. Each row links its FOSS implementation + license + paper. Empirical orthogonality deferred.

#CandidateFOSS implementation @ licensePaper Β· provenanceCoverage
#50 rogers_satchell_var_bar
Drift-independent single-bar variance built from high/low/close relative to the bar open, so it is unbiased even when the bar trends.
πŸ”Ž CRYPTO-PRIOR: present in patterns/crypto lit-scan (provenance only; still forex-proposable
 cran/TTR
GPL-2/3
 DOI:10.1214/aoap/1177005835
git-anchor: absent @c803ef96e + @2d308f1c
 crypto-prior
#51 overnight_gap_logret_sq
Squared log gap between this bar's open and the previous bar's close β€” the pure close-to-open (overnight/inter-bar) variance component.
πŸ”Ž CRYPTO-PRIOR: present in patterns/crypto lit-scan (provenance only; still forex-proposable
 jasonstrimpel/volatility-trading
MIT
 DOI:10.1086/209650
git-anchor: absent @c803ef96e + @2d308f1c
 crypto-prior
#87 realized_semivariance_signed_ratio
Within-bar decomposition of realized variance into the part from up-ticks vs down-ticks of the mid: RS+ = sum of squared positive mid log-returns, RS-
 bashtage/arch Β· cran.r-project.org/package=highfrequency (realized measures); (rSVar)
NCSA (arch) / GPL-2.0-or-later (hi
 DOI:10.1162/REST_a_00503
git-anchor: absent @c803ef96e + @2d308f1c
 not-covered