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Hi MG Ferreira:
It does not matter whether the structure is MSFL or not. Any
suggestion for the formula will be great.
On the other hands, I am facing with the issue of normalizing
volatility, such as historical volatility, bollinger band, ADX,
Average true range ..., since there is no clear relationship between
volatility and the close price, so I cannot set the weight by
comparing the closing price with the previous one. Do you have any
suggestion on how to set the weights for the volatility?
Thank you very much
Eric :>
--- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999 <no_reply@xxxx>
wrote:
> Do you want just the formula or must it be MSFL?
>
> Regards
> MG Ferreira
> TsaTsa EOD Programmer and trading model builder
> http://www.ferra4models.com
> http://fun.ferra4models.com
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, chichungchoi <no_reply@xxxx>
wrote:
> > Does anyone know how to customize historical volatility? such as
> > following conditions
> >
> > Historical volatility (HV) for 30 days
> > Std(Log(C/Ref(C,-1)),30)*Sqrt(365)*100
> >
> > I would like to forecast tomorrow's HV by setting tomorrow's
close
> > price within a certain range, but I am not actually adding any
stock
> > data for tomorrow's price. I just want to add the additional data
into
> > the HV formula and shift backward by one day, so the most recent
result
> > for HV indicator will be the forecast tomorrow's HV.
> > I think it will look like
> > [Std(Log(C/Ref(C,-1)),29)+tomorrow close price]*Sqrt(365)*100 and
shift
> > one day backward.
> > Does anyone know how to figure out the formula please?
> > Thank you for any suggestion
> > Eric :>
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