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Historical Volatility (HV) Topic Rating:
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mhdeaton
Posted : Friday, May 5, 2006 3:26:44 PM
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Joined: 10/27/2005
Posts: 71
Ok thanks for all your input. The way you tell me to use it really bogs down the program. Theres a 1-2 second delay using the space bar.

Thanks again
Craig_S
Posted : Friday, May 5, 2006 3:31:46 PM


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Joined: 10/1/2004
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That can be expected with a formula that length. Why not just use them as PCFs and scan for both. Create a PCF for each, add both created PCFs to any EasyScan and limit the VALUES to MIN to 0.

- Craig
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stanaction
Posted : Friday, September 28, 2007 10:34:16 AM
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Joined: 3/25/2005
Posts: 22
Based upon the pcf's for 50d and 100d HV posted above, can someone help me do new PCF's for the following objective?

I would like to compute the (50 and/or 100)HV for Up days and Down days separately.

In other words, I would like to compare the standard deviation of % daily changes of all up days over the period with the standard deviation of % daily changes for all down days over the period. For example if a stock has closed up 40 days and down 60 days over the last 100 days, I want to see its HV100 computed for the 40 up days only and separately for the 60 down days only.

Any help greatly appreciated!
jthanki
Posted : Friday, September 28, 2007 1:51:52 PM
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Joined: 5/21/2007
Posts: 13
Can I use this for block charts
Bruce_L
Posted : Monday, October 1, 2007 8:59:59 PM


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stanaction,
I answered your question in the topic you opened specifically for the question:

How to compute the (50 and/or 100)HV for Up days and Down days separately.

-Bruce
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Bruce_L
Posted : Monday, October 1, 2007 9:02:04 PM


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jthanki,
You may wish to review the following:

Historic Volatility (HV) Code Block
Strategy for scanning watchlist for Historical Volitility

-Bruce
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diceman
Posted : Monday, October 20, 2014 1:13:18 PM
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Joined: 1/28/2005
Posts: 6,049

Are these PCFs correct for

 

10HV:

1600*SQR((LOG(C/C1)^2 +LOG(C1/C2)^2 +LOG(C2/C3)^2 +LOG(C3/C4)^2 +LOG(C4/C5)^2 +LOG(C5/C6)^2 +LOG(C6/C7)^2 +LOG(C7/C8)^2 +LOG(C8/C9)^2 +LOG(C9/C10)^2-(LOG(C/C10)^2)/10)/10)


20HV:


1600*SQR((LOG(C/C1)^2 +LOG(C1/C2)^2 +LOG(C2/C3)^2 +LOG(C3/C4)^2 +LOG(C4/C5)^2 +LOG(C5/C6)^2 +LOG(C6/C7)^2 +LOG(C7/C8)^2 +LOG(C8/C9)^2 +LOG(C9/C10)^2
+LOG(C10/C11)^2+LOG(C11/C12)^2+LOG(C12/C13)^2+LOG(C13/C14)^2
+LOG(C14/C15)^2+LOG(C15/C16)^2+LOG(C16/C17)^2
+LOG(C17/C18)^2+LOG(C18/C19)^2+LOG(C19/C20)^2-(LOG(C/C20)^2)/20)/20)

 

Thanks
 

Bruce_L
Posted : Monday, October 20, 2014 1:56:58 PM


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Yes, your formulas are correct.



-Bruce
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diceman
Posted : Wednesday, March 1, 2017 9:51:02 AM
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Joined: 1/28/2005
Posts: 6,049

Can the size of the 100HV be reduced with the new PCF language?

 

Thanks

Bruce_L
Posted : Wednesday, March 1, 2017 10:02:38 AM


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Joined: 10/7/2004
Posts: 65,138

Yes, the formulas can be shortened considerably using the new language (albeit not as much as if the standard deviation function was not specific to price).

1600 * ABS((SUM(LOG(C / C1) ^ 2, 100) - LOG(C / C100) ^ 2 / 100) / 100) ^ .5

Some generalized ways of writing these formulas are given below.

Historical Volatility

1600 * ABS((SUM(LOG(C / C1) ^ 2, x) - LOG(C / Cx) ^ 2 / x) / x) ^ .5

Where x is the period of the Historical Volatility indicator.

HV Ratio

SQR(ABS((SUM(LOG(C / C1) ^ 2, n) - LOG(C / Cn) ^ 2 / n) / n)) / SQR(ABS((SUM(LOG(C / C1) ^ 2, d) - LOG(C / Cd) ^ 2 / d) / d))

Where n is the first period specified which is used for the historical volatility in the numerator.

Where d is the second period specified which is used for the historical volatility in the denominator.



-Bruce
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qsw
Posted : Saturday, November 3, 2018 3:36:06 AM
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Joined: 10/9/2017
Posts: 1

Hi Bruce

I'm new and wonder whether you could assist me with an indicator for 21 day Historical volatility similar to that in Stockfetcher. I attempted to modify your code for the 50 HV above but don't get the same numbers as in Stockfetcher.

Stockfetcher defines historical volatility as :-

   
Usage Historical Volatility(period,trading period)
Description Historical volatility uses the standard deviation of a stock's price to measure the volatility of the stock. Additionally, historical volatility is often expressed in daily, weekly or monthly terms.

Thank you for your help.

 

 

Bruce_L
Posted : Monday, November 5, 2018 10:00:56 AM


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Joined: 10/7/2004
Posts: 65,138

A 21 period HV can be written as folllows in TC2000 v18.

1600 * ABS((SUM(LOG(C / C1) ^ 2, 21) - LOG(C / C21) ^ 2 / 21) / 21) ^ .5

If Stockfetcher is just using a 21 period standard deviation of regular prices without any other of HVs normal additions to this concept, then you could just use the following..

STDDEV21



-Bruce
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