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I've been using Fishback's ODDS exploration in metastock. Could anyone
translate the code below to Amibroker.
The exploration searches all securities for extremely high or
extremely low volatility. Extremely high volatility securities will
show a "1" in the "Hi/low ?" column of the report, whereas extremely
low volatility securities will show a "-1".
Formula:
If(CLOSE>20 AND (HHV((Std(Log(C/Ref(C,-1)),23) * Sqr(365)),5)) <
(HHV((Std(Log(C/Ref(C,-1)),23) * Sqr(365)),253)) AND
Ref((HHV((Std(Log(C/Ref(C,-1)),23) * Sqr(365)),5))
,-1)=Ref((HHV((Std(Log(C/Ref(C,-1)),23) * Sqr(365)),253)) ,-1) AND
(Std(Log(C/Ref(C,-1)),23) * Sqr(365))< Ref((Std(Log(C/Ref(C,-1)),23) *
Sqr(365)),-1),1{high volatility},If(
CLOSE>20 AND (Std(Log(C/Ref(C,-1)),6) * Sqr(365))
<0.5*(Std(Log(C/Ref(C,-1)),100) * Sqr(365)) AND
(Std(Log(C/Ref(C,-1)),10) * Sqr(365))<0.5*(Std(Log(C/Ref(C,-1)),100) *
Sqr(365)),-1{low volatility},0))
Filter:
(CLOSE>20 AND (HHV((Std(Log(C/Ref(C,-1)),23) * Sqr(365)),5)) <
(HHV((Std(Log(C/Ref(C,-1)),23) * Sqr(365)),253)) AND
Ref((HHV((Std(Log(C/Ref(C,-1)),23) * Sqr(365)),5))
,-1)=Ref((HHV((Std(Log(C/Ref(C,-1)),23) * Sqr(365)),253)) ,-1) AND
(Std(Log(C/Ref(C,-1)),23) * Sqr(365))< Ref((Std(Log(C/Ref(C,-1)),23) *
Sqr(365)),-1)) OR
CLOSE>20 AND (Std(Log(C/Ref(C,-1)),6) * Sqr(365))
<0.5*(Std(Log(C/Ref(C,-1)),100) * Sqr(365)) AND
(Std(Log(C/Ref(C,-1)),10) * Sqr(365))<0.5*(Std(Log(C/Ref(C,-1)),100) *
Sqr(365))
TIA,
ct1942
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