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Hello,
Here is a version that I have been using that I made from a formula posted
for MS.
Input: Shortlen(6), LongLen(100);
Vars: HistVol(0);
HistVol =
StdDev(Log(Close/Close[1]),ShortLen)/StdDev(Log(Close/Close[1]),LongLen);
Plot1(HistVol,"HistVol");
Plot2(0.5,"LowerBnd",Yellow);
Plot3(1.6,"UpperBnd",Yellow);
Maybe you can make this work for you.
Dana
----- Original Message -----
From: "Mark Scheier" <m.scheier@xxxxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Cc: "OmegaList" <omega-list@xxxxxxxxxx>
Sent: Tuesday, August 28, 2001 10:44 AM
Subject: Re: Dynamic Trader and HRV - Historical Volatility Ratio - HELP
> I believe this originally came from Laurence Conners'
> Investment Secrets of a Hedge Fund Mgr, not Miner.
> You should be able to find the code in that book, but
> at the least, a detailed explanation of it.
>
> David Jennings of this group once roughed it out in code,
> but I'm not sure if we ever got it right or not.
>
> Mark Scheier
>
> Ian McVicar wrote:
>
> > http://www.dynamictraders.com/dt3.htm
> > page down to middle of page, see indicator list
> >
> > Does any one know how to program this tool- Historical Volatility Ratio
> >
> > I understand it to be only in Dynamic Trader and CQC software ?
> >
> > Any comments, advice, suggestions would be great.
> >
> > I have played with the volatility in TS2000i wity no luck.
> > It is described as short term 6 period volatility difference in
percentage
> > terms with 100 period volatiliy, but it is not that simple.
> >
> > Rgds
> >
> > Ian
> >
> > http://shopping.yahoo.com.au - Father's Day Shopping
> > - Find the perfect gift for your Dad for Father's Day
>
>
Attachment:
Description: "HISTVOL.ELA"
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