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--- In amibroker@xxxxxxxxxxxxxxx, "mmqp <mmqp@xxxx>" <mmqp@xxxx>
wrote:
> Has anyone writen a AB indicator plotting historical volatility? Do
> you care to share or point to the right direction? TIA
sure; here it is the formula for historical (AKA statistic)
volatility:
Plot(StDev(log(C/Ref(C,-1)),20) * sqrt(253)*100, "20 days", colorRed,
styleLine);
Plot(StDev(log(C/Ref(C,-1)),90) * sqrt(253)*100, "90 days", colorBlue,
styleLine);
the general form is:
StDev(log(C/Ref(C,-1)),N) * sqrt(253)*100
where N is the number of days you want to consider
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