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Seems that I didn't get this out earlier. A correction had to be made in the
code I posted. It needed some parens.
I apologize if this is a redundant message.
Jim
Inputs: NumberDays(Numeric);
Variables: AssetPrice(0), Answer(0), Count(0), AvgDiff(0), SumDiff(0);
If NumberDays > 1 then begin
AvgDiff = Average((log(Close[0] / Close[1])), NumberDays);
SumDiff = Summation(((Log(Close[0] / Close[1])) - AvgDiff) * ((Log(Close[0]
/ Close[1])) - AvgDiff), NumberDays);
Answer = (SquareRoot(SumDiff / (NumberDays - 1))) * 16 ; {Annualize
Calculation sq root of 256 days}
If Answer <= 0 Then
Answer = 0;
If Answer >= 2.99 Then
Answer = 2.99;
VolatilityStdDev = Answer;
end
Jim Bronke
Phoenix, AZ
----- Original Message -----
From: "Valerie Ridgway" <val.ridgway@xxxxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Saturday, August 18, 2001 8:14 AM
Subject: Re: Correction to TS function - 'VolatilityStdDev'
: use:
:
: if NumberDays > 1 then begin
:
: end;
:
: ----- Original Message -----
: From: "Jim Bronke" <jvbronke@xxxxxxxx>
: To: <omega-list@xxxxxxxxxx>
: Sent: Saturday, August 18, 2001 9:03 AM
: Subject: Re: Correction to TS function - 'VolatilityStdDev'
:
:
: > The code needs to include a divide by zero check as follows:
: >
: > Inputs: NumberDays(Numeric);
: > Variables: AssetPrice(0), Answer(0), Count(0), AvgDiff(0), SumDiff(0);
: >
: > If NumberDays - 1 <> 0 then begin
: >
: > AvgDiff = Average((log(Close[0] / Close[1])), NumberDays);
: > SumDiff = Summation(((Log(Close[0] / Close[1])) - AvgDiff) *
: ((Log(Close[0]
: > / Close[1])) - AvgDiff), NumberDays);
: > Answer = (SquareRoot(SumDiff / NumberDays - 1)) * 16 ; {Annualize
: > Calculation sq root of 256 days}
: > If Answer <= 0 Then
: > Answer = 0;
: > If Answer >= 2.99 Then
: > Answer = 2.99;
: >
: > VolatilityStdDev = Answer;
: >
: > end;
: >
: > If a 1 was entered in for the number of days you would be in trouble.
: > thanks for your input Brian.
: >
: > Jim Bronke
: >
: > >
: > > ----- Original Message -----
: > > From: "Brian Mense" <bmense@xxxxxxxxxx>
: > > To: <omega-list@xxxxxxxxxx>
: > > Sent: Friday, August 17, 2001 7:39 PM
: > > Subject: Correction to TS function - 'VolatilityStdDev'
: > >
: > >
: > > : 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
: > > :
: > >
: >
:
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