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>Does anyone know how the Easy Language "Volatility" function is
>calculated? Is volatility(length) the same as xaverage(truerange,
>length)?
I thought it was something that has a value only if it's in your
data stream, or some feature of OptionStation. I never used it
because I don't know how it's calculated.
Traditionally, volatility is calculated as an average of log
returns. Because log scales and price ratios are meaningless for
reverse-adjusted futures contracts (they make sense for stocks),
I doubt TradeStation is doing it the "correct" way.
I imagine the TS volatility would be something like the average
of changes between closes, which is mathematically the same as
(close[n-1]-close[0])/n.
NinjaTrader has a Slope() function that has exactly that result, not
a regression slope like you'd expect.
-Alex
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