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Hi Reni,
I don't have the book and therefore the exact formula.
Could you let me know if this represents it or not?
<clip>
hv6=StDev(log(C/Ref(C,-1)),6) * sqrt(260)*100;
Hv100=StDev(log(C/Ref(C,-1)),100) * sqrt(260)*100;
Plot(Hv6,"", colorBlue, 1);
Plot(Hv100, "", colorOrange, 1);
Title="x-day HVs & ratios: \n"+EncodeColor(colorBlue)+"6-day:
"+WriteVal(hv6,1)+"%"+EncodeColor(colorOrange)+"\n100-Day:
"+WriteVal(hv100,1)+"%"+EncodeColor(colorRed)+"\n6-Day/100-Day:
"+WriteVal(hv6/hv100,1.2);
GraphXSpace=3;
<clip>
thanks
-john
----- Original Message -----
From: "renilange" <reni.lange@xxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, April 07, 2004 3:20 PM
Subject: [amibroker] HISTORICAL VOLATILITY INDICATOR (STREET SMARTS)
Hi everybody!
I´m just reading "Street Smarts" (Bradford Raschke) and saw the last
post by Traderix about the historical volatility index.
I would be interested in experimenting with this indicator for
Historical Volatility Ratio 6/100 as discribed in the book.
It seems that nobody knows the AFL code.
Tomasz?
Best regards. Reni
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