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Try this
Plot(100*StDev(ln(C/Ref(C,-1)),60)*sqrt(251),"Volatility",3,1);
/*Step 1:
Calculate the natural logarithm of today's Close compared to yesterday's
Close
cell B2: = ln(A2/A1)
Fill this formula down the screen.
Step 2:
Convert to an annual percentage measure. If your lookback period is 20
days
cell C20: = 100 * StDev(B1:B20) * 250 ^.5
If you wanted A lookback of 200 days:
start at cell C200: = 100 * StDev(B1:B200) * 250 ^.5
The above formula takes the standard deviation of the daily percentage
change AND converts it into an annual measure by multiplying by the
square root of the number of trading days in the Year.
Cheers,
Graham
-----Original Message-----
From: mmqp <mmqp@xxxxxxxxx> [mailto:mmqp@xxxxxxxxx]
Sent: Monday, 10 February 2003 3:04 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Option Traders
Has anyone writen a AB indicator plotting historical volatility? Do
you care to share or point to the right direction? TIA
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