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FWIW Landry and crew use sqrt(256).
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]On Behalf
Of MailYahoo
Sent: Monday, July 24, 2006 7:49 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Historical Volatility
Yes the majority of the annual signal will run on 252 bars ( trading days)
Mark
_____
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of Jason Hart
Sent: Monday, July 24, 2006 10:31 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Historical Volatility
Allan has it right - there are only 250-260 trading days in the year so the
250 days is about right
wavemechanic <fimdot@xxxxxxxxx> wrote:
If you are looking for the annual historical volatility use all days or
sqrt(365).
Bill
----- Original Message -----
From: "matrix10014" < allansn@xxxxxxxxxxxxx <mailto:allansn@xxxxxxxxxxxxx> >
To: < amibroker@xxxxxxxxxxxxxxx <mailto:amibroker@xxxxxxxxxxxxxxx> >
Sent: Monday, July 24, 2006 8:52 PM
Subject: [amibroker] Historical Volatility
>
> Hi,
>
> Is this the correct formula for 21 day historical volatility??
>
> HistVol = StDev(log(C/Ref(C,-1)),21)*100*sqrt(250);
>
>
> thanks
>
> Allan
>
>
>
>
>
>
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