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Is there any way to code an equivalent to the Tradestation
Volatility-StdDev. (Hist.-Vola) in Metastock? The code in Easy
Language uses a For..To loop wich is AFAIK not available in Metastock?
The built-in Vola-indicators in MS ("Chaikins", "Option Vola.") seem
to deliver some strange values!?
Many thanks for your input,
ciao Jens
ok, here is the TradeStation function:
{*******************************************************************
Description : This Function returns Statistical Volatility
- Standard Deviation of Closes
Provided By : Omega Research, Inc. (c) Copyright 1999
********************************************************************}
Inputs: NumDays(Numeric);
Variables: AssetPrice(0), Answer(0), Count(0), NoData(0),
VoltyDays(0), AvgDiff(0), SumDiff(0);
If DataCompression = 2 then Begin {check for daily data}
VoltyDays = NumDays;
For Count = 1 To VoltyDays + 1 Begin
AssetPrice = Close[Count]; {Check For Enough History}
If AssetPrice = 0 then
NoData = 1;
End;
{
If NoData = 0 Then Begin
}
AvgDiff = Average((log(Close[0] / Close[1])),
VoltyDays);
SumDiff = Summation(((Log(Close[0] / Close[1])) -
AvgDiff) * ((Log(Close[0] / Close[1])) - AvgDiff), VoltyDays);
Answer = (SquareRoot(SumDiff / VoltyDays)) *
15.90957; {Annualize Calculation}
If Answer <= 0 Then
Answer = 0;
If Answer >= 2.99 Then
Answer = 2.99;
End;
{
End;
}
VolatilityStdDev = Answer;
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