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How do I write the code for an indicator in TS4 showing the 6day historical
volatility divided by the 100day historical volatility?
This is a setup from Street Smarts by Connors and Raschke for a daily chart.
When this indicator is <0.5, significant range expansion should follow.
The appendix gives the historical volatility formula as:
price change(from one close to the next) x(i)=ln [P(i)/P(i-1)] {i and i-1
are subscripts}
where P(i) is the price (close) at the end of the (i) th time interval.
It then finds the standard deviation of these natural log values. Then the
annual volatility by multiplying the S.Dev. by the square root of the time
interval between changes. In their example it was week to week time changes
so
annual volatility= standard deviation * sqr root(365/7)
I guess what I'm after is the natural log of the day to day changes in the
close.
If someone would show me how to write this in EL, I'd be most gratefull.
Thankyou for whatever help you can offer.
Regards, Bob.
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