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There are many ways to determine volatility. The differences you see are
just from 2 ways. Some others use things like ATR etc.
The method I coded was from option volatility calculation that I found.
It all comes down to what you want to use it for, what it suits as far
as the type of trading you want to do, and above all else it seems to be
your preferences that makes what you use. You could always create your
own calculation based on the charts you watch. I have done this a few
times over the years looking for different methods to achieve the end
result I am looking for.
Cheers,
Graham
-----Original Message-----
From: mmqp <mmqp@xxxxxxxxx> [mailto:mmqp@xxxxxxxxx]
Sent: Tuesday, 11 February 2003 4:05 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Option Traders
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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