Re: Dynamic Trader and HRV - Historical Volatility Ratio - HELP

["Barry Silberman" <barry@xxxxxxxxxxxxxxxxxxxxx>]

Ian,

This is the code for the indicator and function that I have:

{***************************************************************************
**
Description : This Function returns VolatilityHistorical
Calculation per Page 211 of "Dave Landry on Swing Trading"
Use only on Daily data
****************************************************************************
***}

Inputs: NumberDays(Numeric);
Variables:  Answer(0);

If DataCompression =2  Then Begin
 Answer = StdDev(log(close/close[1]),numberdays)*100*squareroot(256);
 End;

VolatilityHistorical = Answer

======================================================================

{***************************************

 Written by:  Barry Silberman
 Description:
 50% Volatility test:   fast volatility divided by slow volatility

****************************************}

Input: Length1(6), Length2(100) ;

Value1=VolatilityHistorical(Length1);
Value2=VolatilityHistorical(Length2);

If Value2<>0 Then
 Value99=Value1/Value2;

If currentBar > AbsValue(0) then Begin
 If value99 < .5 then
     Plot1(value99, "Volatility", yellow, default, 2)
 else
  Plot1(value99, "Volatility", blue, default, 0);

 Plot2(.5, "50% line");

end;


Regards,

Barry Silberman



>
> ----- 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