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ES intraday volatility recently

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skiguy View Post
Thanks for the response.

I tried to find the calculation for ADN but could only find 1 reference to it. It may not be the one you are referring to. Do you have the calculation that you use? Do you take an average over how many days?

Does anyone else have the calc for ADN?

This is the only reference I could find:

Calculate Daily Noise which is smallest of the below 2 calculations:
1. Abs(Prev Day pit session Hi - Previous Day open)
2. Abs(Prev Day pit session Lo- Previous Day open)

Calculate the average over n days of Daily noise as input by the trader. The is the AVerage Daily Noise(ADN)

This is correct. The ADN describes the so-called average failed moves. Since the end of the pits, the
generalized ETH formula is more common: The failed move is the smaller of (High - Open) and (Open-Low).
In FIO Elite threads, many of us use ADN10 and ADN20. Downloads are available for platforms like NT
which also plot noise bands, i.e. the average failed moves added to or subtracted from the regular open.

A NT version comes e.g. with https://futures.io/download/ninjatrader-7/indicators/371-download.html?view .

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