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Frog (range volatility)

Frog is the population standard deviation of the daily High−Low range over the prior ~30 trading days, a measure of how erratic a symbol's daily bar size has been.

Concept: what FROG means →

Frog measures the population volatility (standard deviation) of the daily High−Low range over roughly the last 30 trading days, excluding the current day. A large Frog means the bar size itself has been swinging widely; a small Frog means consistent daily ranges. Frog underpins position sizing on the Edge platform — it quantifies how much a single day's range can vary, which feeds risk-per-trade and stop placement decisions.

Verified. Python and JavaScript implementations agree to 2.22e-16 on a 60-bar reference high/low series (canonical Python (edge-scan compute_frog_for_date) vs JavaScript (calcFrog30d), comparable positions).

Pythonpermalink →

import numpy as np


def frog(high, low, n=30):
    """Frog — population standard deviation of the daily (High - Low) range
    over the n trading days STRICTLY BEFORE the last bar.

    Canonical math from edge-scan eod_indicators._frog_from_window /
    compute_frog_for_date. The window is the n ranges preceding the final
    bar (the current/target day is excluded — no look-ahead), and the
    standard deviation is population (ddof=0).

    Args:
        high: sequence of daily highs, ascending by date.
        low:  sequence of daily lows, ascending by date (same length).
        n:    lookback window in trading days (default 30).

    Returns:
        float Frog value, or None if fewer than 2 observations in the window.
    """
    high = np.asarray(high, dtype=float)
    low = np.asarray(low, dtype=float)
    ranges = high - low

    # Window: up to n bars ending one position before the last bar.
    # Excluding the final bar matches the chart-display / for_date convention.
    idx = len(ranges) - 1
    window = ranges[max(0, idx - n):idx]
    if len(window) < 2:
        return None

    # Population standard deviation (ddof=0).
    return float(np.std(window, ddof=0))

JavaScriptpermalink →

/**
 * Frog — population standard deviation of the daily (High - Low) range over
 * the last n trading days preceding the current day (the final bar excluded).
 *
 * Verbatim math from edge-canvas calcFrog30d. Bit-parity with the canonical
 * Python (edge-scan compute_frog_for_date): population stddev (divide by N),
 * window = the n bars strictly before the last/current bar.
 *
 * @param {Array<{high:number, low:number}>} eodCandles - Daily OHLC bars, ascending by date.
 * @param {number} n - Lookback window in trading days (default 30).
 * @returns {number|null} Frog value, or null if fewer than 2 observations.
 */
export function frog(eodCandles, n = 30) {
  // Use up to n days PRECEDING the last bar (exclude the current day).
  const win = Math.min(eodCandles.length - 1, n);
  if (win < 2) return null;

  // Window: the win bars ending one position before the final bar.
  const window = eodCandles.slice(-(win + 1), -1);
  const ranges = window.map((c) => c.high - c.low);

  // Population variance (divide by N), then standard deviation.
  const mean = ranges.reduce((s, v) => s + v, 0) / ranges.length;
  const variance = ranges.reduce((s, v) => s + (v - mean) ** 2, 0) / ranges.length;
  return Math.sqrt(variance);
}
Per-platform pages: Python · JavaScript
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