AW:Re: Volatility Measurements VIDYA function

["hpm" <anatop@xxxxxxxxxxx>]

Hi Here it is

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{User Function: Vidya
Notes        : Variable Index Dynamic Average.
               Compute equivalent of smoothing factor
                in XAverage = (2 / (Length + 1))
Inputs       : Price - try using close
               Const - numeric constant
               Sigma - any dimensionless positive market indicator
Returns      : a value scalable to 'Price'.
See also     : Ravi

for Short term try
  Const = 0.15  (approx smoothing factor for 12 period exponential average)
  Sigma = StdDev (Price, 10) / 4 ;

for Long  term try
  Const = 0.078 (approx smoothing factor for 25 period exponential average)
  Sigma = StdDev (Price, 13) / 6 ;

Sample Usage :

  Value1 = Vidya (Close, 0.15, 
                  Average(TrueRange, 7) / Average(TrueRange, 14)) ;

Provided by Samuel K. Tennis
            Product Support Dept.
         of Omega Research, Inc.}

Inputs: Price (NumericSeries),
        Const (NumericSimple),
        Sigma (NumericSeries) ;
Vars  : Return (Price) ;

Return = (Const * Sigma)  * Price + (1 - (Const * Sigma)) * Return[1] ;
Vidya = Return ;

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regards


Hans-Peter Moeckli
anatop@xxxxxxxxxxx