HistoricalVolatilityIndex(Vector, Periods, Bar History, Standard Deviations)

HVI(Vector, Periods, Bar History, Standard Deviations)

Overview

Historical volatility is the log-normal standard deviation. The Historical Volatility Index is based on the book by Don Fishback, "Odds: The Key to 90% Winners".

The formula for a 30-day historical volatility index between 1 and 0 is:

Stdev(Log(Close / Close Yesterday), 30) * Sqrt(365)

Some traders use 252 instead of 365 for the bar history that is used by the square root function. The Log value is a natural log (i.e. Log10).

Interpretation

High values of HVI indicate that the stock is volatile, while low values of HVI indicate that the stock is either flat or trending steadily.

Recommended Parameters

Vector: CLOSE

Periods: 15

Bar History: 30

Standard Deviations: 2

Example

HVI(CLOSE, 15, 30, 2) < 0.01

 

 

 

 

 

 

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