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Robert,
attached is the ela for what you want.
regards
Philip
-----Original Message-----
From: robert <robertr@xxxxxxxxxxxxx>
To: Omega-List <omega-list@xxxxxxxxxx>
Date: 04 June 1999 13:32
Subject: Historical Volatility
>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.
>
Attachment Converted: "c:\eudora\attach\Histvol.ela"
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