|
PureBytes Links
Trading Reference Links
|
I've run into the same problem you mention. The option volatility
indicator is a black-box calculation of historical volatility where
we don't know what the parameters are and can't modify them. A
change in the number of periods used to make the calculation can make
a huge difference in the output. There are also different
conventions for making other calcs in the formula that will make
smaller differences.
What I did was write my own custom indicator with a dialog box that
gives me the choice of time-periods to use.
periods:=Input("Time Periods for Historical Volatility",2,100,20);
(Std(Log(C / Ref(C,-1)),periods)*Sqr(256))
The first line is pretty self-explanatory, the second gives you
change in price and annualizes it out. I'm using MS 6.52, but I
can't see any reason why you can't just copy and paste the formula
into whatever new-fangled formula-builder or indicator-builder you
have.:)
There's nothing special about this formula (I think it's pretty
standard), but at least you know what the equation is instead of
having a black-box that you don't know what's in there.
Luck,
Sebastian
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Rent DVDs from home.
Over 14,500 titles. Free Shipping
& No Late Fees. Try Netflix for FREE!
http://us.click.yahoo.com/BVVfoB/hP.FAA/uetFAA/BefplB/TM
---------------------------------------------------------------------~->
To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|