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
6,407 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

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2022 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus


This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.