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The Rogers-Satchell function is a volatility estimator that outperforms other estimators when the underlying follows a geometric Brownian motion (GBM) with a drift (historical data mean returns different from zero).
As a result, it provides a better volatility estimation when the underlying is trending.
However, this Rogers-Satchell estimator does not account for jumps in price (Gaps). It assumes no opening jump.
The function uses the open, close, high, and low price series in its calculation and it has only one parameter, which is the period to use to estimate the volatility.
Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.