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[amibroker] Re: Option Traders



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Trading Reference Links

I just noticed that you use log base 10 (log) in your formula and 
Graham uses natural log (ln) in his formula.  Do you have any comment 
on this.

http://groups.yahoo.com/group/amibroker/message/33458

--- In amibroker@xxxxxxxxxxxxxxx, "butthabuttha <buttha@xxxx>" 
<buttha@xxxx> wrote:
> --- 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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