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Gentlemen, (Bob, John, Anthony, and anyone else)
John and Bob, thanks for the feedback...
I don't want to start a fight :-) but there seems to be some
discrepancy in the results of the posted "Historical Volatility"(HV)
code snippets. Bob's and John's seem to be similar in result.
But Anthony Faragasso's post of Dec.29/03 returns significantly
different results. Significant enough to mess up a trade :-)
I visited the www.optionclub.com calculator and used the "QQQ"
as a test.
I set all code snippets to provide a 20 day HV value to compare.
The HV chart at OptionsClub concurs with Anthony's code.
20 day historical volatility of QQQ...
John: 47.46
Bob: 47.8
Anthony: 20.6
OptionClub: 21
I am posting this because these are important values to traders
and being that I am not an accomplisher AFL coder, I am hoping
that as group, we can determine which snippet is most accurate.
Hopefully this will benefit all involved.
Codes are below.
Result at the bottom of each section.
=========== Bob Jagow's Post =====================
// Bob, for comparison purposes, I adjusted the
// one of the periods from 100 to 20
function hv(period)
{
return StDev(log(C/Ref(C,-1)),period)*100*16;
}
hv20 = hv(20); hv6 = hv(6);
Plot(Hv6/Hv20,"s/lv",4);
Plot(Hv6/Hv20,"hvs/hvl",7);
Plot(1,"",7,4);
Plot(Hv20,"hv20",5,styleOwnScale);
//Filter = Hv20 > 50 AND ADX(14) > 30;
//AddColumn(Hv100," hv ",2.1);
//AddColumn(Hv6/Hv100,"hv ratio",2.1);
//AddColumn(ADX(14),"ADX14");
//AddColumn(PDI(14) - MDI(14),"dir");
****** shows "QQQ" 20 day volatility as 47.46 *****
============= John Gibb's Post ====================
yr_days=Param("yr_days",260,260,365);
pd1=Param("pd1",6,6,200,2);
pd2=Param("pd2",100,6,200,2);
hv1=StDev(log(C/Ref(C,-1)),pd1) * sqrt(yr_days)*100; <===Here
Hv2=StDev(log(C/Ref(C,-1)),pd2) * sqrt(yr_days)*100;
Plot(Hv1,"", colorBlue, 1);
Plot(Hv2, "", colorOrange, 1);
Title="x-day HVs & ratios:
\n"+EncodeColor(colorBlue)+NumToStr(pd1,1.0)+"-Day:
"+WriteVal(hv1,1)+"%"+EncodeColor(colorOrange)+"\n"+NumToStr(pd2,1.0)
+"-Day:
"+WriteVal(hv2,1)+"%"+EncodeColor(colorRed)+"\n"+NumToStr(pd1,1.0)+"-
Day/"+NumTo\
Str(pd2,1.0)+"-Day:
"+WriteVal(hv1/hv2,1.2);
GraphXSpace=3;
****** shows "QQQ" 20 day volatility as 47.8 *****
============= Anthoy's Post =======================
From: "Anthony Faragasso" <ajf1111@xxxx>
Date: Mon Dec 29, 2003 2:52 pm
Subject: Re: [amibroker-afl] Historical Volatility
/* Historical Volatility */
Period1=20;
Period2=90;
Volatility1 = StDev(log(C/Ref(C,-1)),Period1)*sqrt(365/7)*100;
<===Here
Volatility2 = StDev(log(C/Ref(C,-1)),Period2)*sqrt(365/7)*100;
Plot(Volatility1,"\n"+"Volatility1 [ "+WriteVal(period1,1)+"
Period ]",colorRed,styleLine);
Plot(Volatility2,"\n"+"Volatility2 [ "+WriteVal(period2,1)+"
Period ]",colorBlue,styleLine);
****** shows "QQQ" 20 day volatility as 20.6 *****
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