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Gosub, just curious, now that John, Bob, and Anthony are lined up,
is optionclub the black sheep or did you use a weekly input there as
well?
-treliff
--- In amibroker@xxxxxxxxxxxxxxx, "gosub283" <gosub283@xxxx> wrote:
> Bob,
>
> Yep ! That looks like the reason for the differences.
> I just tested with the "daily" factor in place of
> the "weekly" factor in Anthony's code.
> All seems to work ok.
>
> Thanks again for the help.
>
> Gosub283
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Bob Jagow" <bjagow@xxxx> wrote:
> > Bob/John =47.8/47.46 == sqrt(260/256).
> > Anthony's factor is 365/7 = 52 weeks, so the input is
presumably in
> > weeks.
> >
> > Bob
> >
> > -----Original Message-----
> > From: gosub283 [mailto:gosub283@x...]
> > Sent: Friday, September 10, 2004 1:29 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] OPTIONS afl code (John, Bob, Anthony
> Faragasso.)
> >
> >
> >
> > 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 *****
> >
> >
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > Yahoo! Groups Links
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