Volatility contraction scan

Optuma Scripting
1

I am exploring different ways to scan volatility contraction. At this moment I have used two different methods. First utilize historical volatility and check how that has change during different period e.g.

HV(BARS=25) / HV(BARS=5) > 3

Second method that I have used is BB/KC squeeze i.e. Bollinger bands are inside Keltner channel.

BBup = BB(STDDEV=2.0, BARS=20).UpperLine ;
BBlow = BB(STDDEV=2.0, BARS=20).LowerLine ;
KCup = KC(BARS=20, CONST=1,500000).UpperLine ;
KClow = KC(BARS=20, CONST=1,500000).LowerLine ;
v1 = BBup < KCup ;
v2 = BBlow > KClow ;
v1 and v2

I am curious to know what other possibilities Optuma scripting language offers and what might be best way to use historical volatility.

2

You could also use Bollinger Bandwidth , see link:

https://www.optuma.com/kb/optuma/tools/averages/bollinger-bandwidth