Frog (range volatility) in Python

Python

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))