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This indicator(Histvolatility) was used in conjunction with NR4 and NR7 days
for buy and sell setups(TASC) many years ago and is probably from their
book(s).
NR4 and NR7 are bars with the smallest range of the respective previous
periods(bars) 4 and 7 days.
For the definition of - periods - within the code, is this a simple average
of the bars(365) annualized based on close, open, range, OCRange????
Can this be changed to only take wide range bars annualized, narrow range
bars, true range, etc. into account?
Comments suggestions would be greatly appreciated
{*** Raschke/Connors HistVolatility EL Function}
INPUT:LEN(NUMERICSIMPLE);
VAR:DPC(0),NLOG(0),SDEV(0),VOLAT(0),PERIODS(0);
PERIODS=365;
IF C[1]<>0 THEN DPC= c/c[1] ELSE DPC=1;
NLOG=Log(DPC);
SDEV=STDDEV(NLOG,LEN);
VOLAT=100*SDEV*(SquareRoot(PERIODS));
HISTVOLATILITY=VOLAT;
{*** EL Indicator Histvolatility}
Input: L1(10),L2(100);
Plot1(HISTVOLATILITY(L1),"HV1");
Plot2(HISTVOLATILITY(L2),"HV2");
IF CheckAlert Then Begin
IF Plot1 Crosses Above Plot2 or Plot1 Crosses BelowPlot2 Then
Alert;
End;
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