Correction to TS function - 'VolatilityStdDev'

[Brian Mense <bmense@xxxxxxxxxx>]

Hi,

I thought I would pass along a correction we made in a formula in TS2000i.
The VolatilityStdDev function contains a line which reads 'Answer =
(SquareRoot(SumDiff / NumberDays) * SquareRoot(252); {Annualize
Calculation}' which should read 'Answer = (SquareRoot(SumDiff /
(NumberDays-1))) * SquareRoot(256); {Annualize Calculation - 256 is the # of
trading days}'.  Notice the NumberDays now has a -1 after it.  Don't worry
about the change from 252 to 256 right now.

I discovered this after comparing Volatility calculations that I had in
Excel were not matching what was in TS.  This appears to be the root cause
of the difference and this is the primary difference in our formula versus
TS.  The next task was to determine which fomula was correct.  It appears
our original formula is the accepted method of calculating the historical
volatility based on a centered approach, not TS's.  At least according to
Active Trader magazine and FutureSource.

For what it's worth, this 'little' difference caused some pretty big
differences in my numbers.

I also change the number used to Annualize the value from 252 to 256.  My
wife tells me I'm anal, I'm not sure why she thinks that. ;-)

Brian