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HistoricalVolatility
Posted by Mohammad Rahhal on 04 April 2012 04:49 PM

Syntax

Public Function HistoricalVolatility(applyTo As ENUM_APPLIED_PRICE, period As Integer, BarHistory As Integer, StandardDev As Integer) As String

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".

This formula will output a 30-day historical volatility index between 1 and 0: 
Stdev(Log(Close / Close Yesterday), 30) * Sqrt(365)

Note that some traders use 252 instead of 365 for the bar history that is used in the square root calculation.
The Log value is a natural log (ie Log10).

Parameters

Key Description 
applyTo Value can be one of  ENUM_APPLIED_PRICE
period Period as integer
BarHistory Integer value
StandardDev Integer value

Return value

Returns the handles of a technical indicator, in case of failure returns an empty string.

See Also


Back to VTL Server Script Index

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