StockFetcher Forums · General Discussion · Historic Volatility Ratio<< >>Post Follow-up
freely203
19 posts
msg #38784
Ignore freely203
11/9/2005 6:25:30 AM

Hi Everyone

Can someone advise me on this -

Historic Volatility Ratio
The standard settings used are both a 10/100 and 6/100 HVR with a 50% ratio.

Thx very much


freely203
19 posts
msg #38889
Ignore freely203
11/15/2005 3:18:08 AM

Hi anyone know how to read this in ST.

HVR Code for TradeStation-------------------------------

********************************************************
{User function reaHistVol2
Traditional volatility calculation:
StdDev(ln(C/C[1]))}

inputs:VolLen(numericsimple);
Variables: var1(1);

Var1 = Log(close/close[1]);

reaHistVol2 = stddev(Var1,VolLen);

********************************************************

{Indicator reaHistVol2
Plots volatility as above}

inputs: VolLen(18);

plot1(reaHistVol2(VolLen),"Hist Vol");

********************************************************

{User function reaHistVol
Computes the ratio of short term/long term volatility}

inputs:ShrtVolL(numericsimple),LongVolL(numericsimple);

Variables: var1(1),var2(.00001);

Var1 = Log(close/close[1]);

if Var1 <> 0 then Var2 = Var1 else Var2 = .00001;

reaHistVol = stddev(Var2,ShrtVolL)/stddev(Var2,LongVolL);

********************************************************

{Indicator reaHistVol
Plots the user function above}

inputs: ShrtVolL(6),LongVolL(100);

plot1(reaHistVol(ShrtVolL,LongVolL),"HistVol");

********************************************************



TheRumpledOne
6,358 posts
msg #38907
Ignore TheRumpledOne
11/16/2005 11:26:22 AM

I can read it.


freely203
19 posts
msg #38946
Ignore freely203
11/17/2005 4:27:55 AM

Dear TheRumpledOne

Are you able to design it in Stockfetcher?
THx




StockFetcher Forums · General Discussion · Historic Volatility Ratio<< >>Post Follow-up

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