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[amibroker] Re: Trying to plot historical volatility with AFL



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Hi,

If using trading days, the 260 figure does not take into consideration the various holidays, but rather is just the number of calendar days minus the number of weekend days.

Running a simple Scan on EOD data will show that US markets typically have about 252 trading days/year, ranging from 251-253. The exception being 2001, which had 248 days, due to additional closures caused by the 9/11 attacks. 

// Set AA window Range from 1st of year to end of year then run Scan
Buy = Sell = 0;
firstBar = LastValue(ValueWhen(Status("firstbarinrange"), BarIndex()));
lastBar = LastValue(ValueWhen(Status("lastbarinrange"), BarIndex()));
_TRACE("" + (lastbar - firstbar + 1));

Try again the formula suggested earlier using 252 instead of 260 and see if it gets you any closer to your target.

Mike

--- In amibroker@xxxxxxxxxxxxxxx, "potatosoupz" <potatosoupz@xxx> wrote:
>
> Thanks, I think your formula is correct, except you should be multiplying by 260, not 365, since 260 reflects actual trading days.
> 
> See here: http://www2.barchart.com/support/learning.asp?what=hisvol&code=BSTK
> 
> When I change your formula to 260, the results look very close to what is found on IVolatility.com. Let me know what you think.
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso" <ajf1111@> wrote:
> >
> > here is how I calculate Historical volatility: ( 20 period )
> > 
> > hv1=20;
> > vl= StDev(log(C/Ref(C,-1)),hv1)*sqrt(365); 
> > 
> >   ----- Original Message ----- 
> >   From: Potato Soup 
> >   To: AmiBroker (Discussion List) 
> >   Sent: Saturday, November 14, 2009 9:33 AM
> >   Subject: Re: [amibroker] Re: Trying to plot historical volatility with AFL
> > 
> > 
> >     
> >   Thx but they are showing historical or realized volatility, not implied as far as I can tell. 
> > 
> >   More to the point is what I'm doing correct or are there other preferred methods of calculating historical volatility? 
> > 
> >   -----Original Message----- 
> >   From: "dbwyatt_1999" <dbw451@> 
> >   Date: Sat, 14 Nov 2009 14:01:24 
> >   To: <amibroker@xxxxxxxxxxxxxxx> 
> >   Subject: [amibroker] Re: Trying to plot historical volatility with AFL 
> > 
> > 
> > 
> >   I'm not familiar with ivolatility.com, but I would guess they are calculating an implied volatility based on closing SP option prices using an option pricing model like Black-Scholes. 
> > 
> >   Regards, 
> > 
> >   David 
> > 
> > 
> >   --- In amibroker@xxxxxxxxxxxxxxx, Potato Soup <potatosoupz@> wrote: 
> >   > 
> >   > I'm trying to plot the 30 day historical volatility of the S&P 500, using the following AFL on a daily chart with around 2 years of end of day prices for the S&P 500: 
> >   > 
> >   > Plot(StDev(Close, 30),"Historical Volatility", colorOrange,styleLine); 
> >   > 
> >   > However when I look at the values, they appear to be a bit off to what I see when I look online here: 
> >   > 
> >   > http://www.ivolatility.com/options.j?ticker=SPX:CBOE&R=1&period=12&chart=2&vct= 
> >   > 
> >   > For today they have 18.99, where as my chart shows 19.348. All my other values going back further don't match their chart either. Any ideas, are they calculating it differently than just a simple standard deviation? 
> >   > 
> > 
> > 
> > 
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------------------------------------

**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.

TO GET TECHNICAL SUPPORT send an e-mail directly to 
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