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Registered User
Joined: 3/25/2005
Posts: 22
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I had posted this question in the Historical Volatility (HV) topic on Friday, but nobody answered it.
Based upon the pcf's for 50d and 100d HV previously posted in this discussion board, 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!
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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Please try the following:
Warning: Long Personal Criteria Formulas can dramatically increase the time it takes to update your PCFs. These formulas are long enough that they should not be used as Custom Indicators.
50-Period Up Days HV:
1600 * SQR(ABS(((C > C1) * LOG(C / C1) ^ 2 + (C1 > C2) * LOG(C1 / C2) ^ 2 + (C2 > C3) * LOG(C2 / C3) ^ 2 + (C3 > C4) * LOG(C3 / C4) ^ 2 + (C4 > C5) * LOG(C4 / C5) ^ 2 + (C5 > C6) * LOG(C5 / C6) ^ 2 + (C6 > C7) * LOG(C6 / C7) ^ 2 + (C7 > C8) * LOG(C7 / C8) ^ 2 + (C8 > C9) * LOG(C8 / C9) ^ 2 + (C9 > C10) * LOG(C9 / C10) ^ 2 + (C10 > C11) * LOG(C10 / C11) ^ 2 + (C11 > C12) * LOG(C11 / C12) ^ 2 + (C12 > C13) * LOG(C12 / C13) ^ 2 + (C13 > C14) * LOG(C13 / C14) ^ 2 + (C14 > C15) * LOG(C14 / C15) ^ 2 + (C15 > C16) * LOG(C15 / C16) ^ 2 + (C16 > C17) * LOG(C16 / C17) ^ 2 + (C17 > C18) * LOG(C17 / C18) ^ 2 + (C18 > C19) * LOG(C18 / C19) ^ 2 + (C19 > C20) * LOG(C19 / C20) ^ 2 + (C20 > C21) * LOG(C20 / C21) ^ 2 + (C21 > C22) * LOG(C21 / C22) ^ 2 + (C22 > C23) * LOG(C22 / C23) ^ 2 + (C23 > C24) * LOG(C23 / C24) ^ 2 + (C24 > C25) * LOG(C24 / C25) ^ 2 + (C25 > C26) * LOG(C25 / C26) ^ 2 + (C26 > C27) * LOG(C26 / C27) ^ 2 + (C27 > C28) * LOG(C27 / C28) ^ 2 + (C28 > C29) * LOG(C28 / C29) ^ 2 + (C29 > C30) * LOG(C29 / C30) ^ 2 + (C30 > C31) * LOG(C30 / C31) ^ 2 + (C31 > C32) * LOG(C31 / C32) ^ 2 + (C32 > C33) * LOG(C32 / C33) ^ 2 + (C33 > C34) * LOG(C33 / C34) ^ 2 + (C34 > C35) * LOG(C34 / C35) ^ 2 + (C35 > C36) * LOG(C35 / C36) ^ 2 + (C36 > C37) * LOG(C36 / C37) ^ 2 + (C37 > C38) * LOG(C37 / C38) ^ 2 + (C38 > C39) * LOG(C38 / C39) ^ 2 + (C39 > C40) * LOG(C39 / C40) ^ 2 + (C40 > C41) * LOG(C40 / C41) ^ 2 + (C41 > C42) * LOG(C41 / C42) ^ 2 + (C42 > C43) * LOG(C42 / C43) ^ 2 + (C43 > C44) * LOG(C43 / C44) ^ 2 + (C44 > C45) * LOG(C44 / C45) ^ 2 + (C45 > C46) * LOG(C45 / C46) ^ 2 + (C46 > C47) * LOG(C46 / C47) ^ 2 + (C47 > C48) * LOG(C47 / C48) ^ 2 + (C48 > C49) * LOG(C48 / C49) ^ 2 + (C49 > C50) * LOG(C49 / C50) ^ 2 + (((C > C1) * LOG(C / C1) + (C1 > C2) * LOG(C1 / C2) + (C2 > C3) * LOG(C2 / C3) + (C3 > C4) * LOG(C3 / C4) + (C4 > C5) * LOG(C4 / C5) + (C5 > C6) * LOG(C5 / C6) + (C6 > C7) * LOG(C6 / C7) + (C7 > C8) * LOG(C7 / C8) + (C8 > C9) * LOG(C8 / C9) + (C9 > C10) * LOG(C9 / C10) + (C10 > C11) * LOG(C10 / C11) + (C11 > C12) * LOG(C11 / C12) + (C12 > C13) * LOG(C12 / C13) + (C13 > C14) * LOG(C13 / C14) + (C14 > C15) * LOG(C14 / C15) + (C15 > C16) * LOG(C15 / C16) + (C16 > C17) * LOG(C16 / C17) + (C17 > C18) * LOG(C17 / C18) + (C18 > C19) * LOG(C18 / C19) + (C19 > C20) * LOG(C19 / C20) + (C20 > C21) * LOG(C20 / C21) + (C21 > C22) * LOG(C21 / C22) + (C22 > C23) * LOG(C22 / C23) + (C23 > C24) * LOG(C23 / C24) + (C24 > C25) * LOG(C24 / C25) + (C25 > C26) * LOG(C25 / C26) + (C26 > C27) * LOG(C26 / C27) + (C27 > C28) * LOG(C27 / C28) + (C28 > C29) * LOG(C28 / C29) + (C29 > C30) * LOG(C29 / C30) + (C30 > C31) * LOG(C30 / C31) + (C31 > C32) * LOG(C31 / C32) + (C32 > C33) * LOG(C32 / C33) + (C33 > C34) * LOG(C33 / C34) + (C34 > C35) * LOG(C34 / C35) + (C35 > C36) * LOG(C35 / C36) + (C36 > C37) * LOG(C36 / C37) + (C37 > C38) * LOG(C37 / C38) + (C38 > C39) * LOG(C38 / C39) + (C39 > C40) * LOG(C39 / C40) + (C40 > C41) * LOG(C40 / C41) + (C41 > C42) * LOG(C41 / C42) + (C42 > C43) * LOG(C42 / C43) + (C43 > C44) * LOG(C43 / C44) + (C44 > C45) * LOG(C44 / C45) + (C45 > C46) * LOG(C45 / C46) + (C46 > C47) * LOG(C46 / C47) + (C47 > C48) * LOG(C47 / C48) + (C48 > C49) * LOG(C48 / C49) + (C49 > C50) * LOG(C49 / C50)) ^ 2) / ABS((C > C1) + (C1 > C2) + (C2 > C3) + (C3 > C4) + (C4 > C5) + (C5 > C6) + (C6 > C7) + (C7 > C8) + (C8 > C9) + (C9 > C10) + (C10 > C11) + (C11 > C12) + (C12 > C13) + (C13 > C14) + (C14 > C15) + (C15 > C16) + (C16 > C17) + (C17 > C18) + (C18 > C19) + (C19 > C20) + (C20 > C21) + (C21 > C22) + (C22 > C23) + (C23 > C24) + (C24 > C25) + (C25 > C26) + (C26 > C27) + (C27 > C28) + (C28 > C29) + (C29 > C30) + (C30 > C31) + (C31 > C32) + (C32 > C33) + (C33 > C34) + (C34 > C35) + (C35 > C36) + (C36 > C37) + (C37 > C38) + (C38 > C39) + (C39 > C40) + (C40 > C41) + (C41 > C42) + (C42 > C43) + (C43 > C44) + (C44 > C45) + (C45 > C46) + (C46 > C47) + (C47 > C48) + (C48 > C49) + (C49 > C50))) / ABS((C > C1) + (C1 > C2) + (C2 > C3) + (C3 > C4) + (C4 > C5) + (C5 > C6) + (C6 > C7) + (C7 > C8) + (C8 > C9) + (C9 > C10) + (C10 > C11) + (C11 > C12) + (C12 > C13) + (C13 > C14) + (C14 > C15) + (C15 > C16) + (C16 > C17) + (C17 > C18) + (C18 > C19) + (C19 > C20) + (C20 > C21) + (C21 > C22) + (C22 > C23) + (C23 > C24) + (C24 > C25) + (C25 > C26) + (C26 > C27) + (C27 > C28) + (C28 > C29) + (C29 > C30) + (C30 > C31) + (C31 > C32) + (C32 > C33) + (C33 > C34) + (C34 > C35) + (C35 > C36) + (C36 > C37) + (C37 > C38) + (C38 > C39) + (C39 > C40) + (C40 > C41) + (C41 > C42) + (C42 > C43) + (C43 > C44) + (C44 > C45) + (C45 > C46) + (C46 > C47) + (C47 > C48) + (C48 > C49) + (C49 > C50))))
50-Period Down Days HV:
1600 * SQR(ABS(((C < C1) * LOG(C / C1) ^ 2 + (C1 < C2) * LOG(C1 / C2) ^ 2 + (C2 < C3) * LOG(C2 / C3) ^ 2 + (C3 < C4) * LOG(C3 / C4) ^ 2 + (C4 < C5) * LOG(C4 / C5) ^ 2 + (C5 < C6) * LOG(C5 / C6) ^ 2 + (C6 < C7) * LOG(C6 / C7) ^ 2 + (C7 < C8) * LOG(C7 / C8) ^ 2 + (C8 < C9) * LOG(C8 / C9) ^ 2 + (C9 < C10) * LOG(C9 / C10) ^ 2 + (C10 < C11) * LOG(C10 / C11) ^ 2 + (C11 < C12) * LOG(C11 / C12) ^ 2 + (C12 < C13) * LOG(C12 / C13) ^ 2 + (C13 < C14) * LOG(C13 / C14) ^ 2 + (C14 < C15) * LOG(C14 / C15) ^ 2 + (C15 < C16) * LOG(C15 / C16) ^ 2 + (C16 < C17) * LOG(C16 / C17) ^ 2 + (C17 < C18) * LOG(C17 / C18) ^ 2 + (C18 < C19) * LOG(C18 / C19) ^ 2 + (C19 < C20) * LOG(C19 / C20) ^ 2 + (C20 < C21) * LOG(C20 / C21) ^ 2 + (C21 < C22) * LOG(C21 / C22) ^ 2 + (C22 < C23) * LOG(C22 / C23) ^ 2 + (C23 < C24) * LOG(C23 / C24) ^ 2 + (C24 < C25) * LOG(C24 / C25) ^ 2 + (C25 < C26) * LOG(C25 / C26) ^ 2 + (C26 < C27) * LOG(C26 / C27) ^ 2 + (C27 < C28) * LOG(C27 / C28) ^ 2 + (C28 < C29) * LOG(C28 / C29) ^ 2 + (C29 < C30) * LOG(C29 / C30) ^ 2 + (C30 < C31) * LOG(C30 / C31) ^ 2 + (C31 < C32) * LOG(C31 / C32) ^ 2 + (C32 < C33) * LOG(C32 / C33) ^ 2 + (C33 < C34) * LOG(C33 / C34) ^ 2 + (C34 < C35) * LOG(C34 / C35) ^ 2 + (C35 < C36) * LOG(C35 / C36) ^ 2 + (C36 < C37) * LOG(C36 / C37) ^ 2 + (C37 < C38) * LOG(C37 / C38) ^ 2 + (C38 < C39) * LOG(C38 / C39) ^ 2 + (C39 < C40) * LOG(C39 / C40) ^ 2 + (C40 < C41) * LOG(C40 / C41) ^ 2 + (C41 < C42) * LOG(C41 / C42) ^ 2 + (C42 < C43) * LOG(C42 / C43) ^ 2 + (C43 < C44) * LOG(C43 / C44) ^ 2 + (C44 < C45) * LOG(C44 / C45) ^ 2 + (C45 < C46) * LOG(C45 / C46) ^ 2 + (C46 < C47) * LOG(C46 / C47) ^ 2 + (C47 < C48) * LOG(C47 / C48) ^ 2 + (C48 < C49) * LOG(C48 / C49) ^ 2 + (C49 < C50) * LOG(C49 / C50) ^ 2 + (((C < C1) * LOG(C / C1) + (C1 < C2) * LOG(C1 / C2) + (C2 < C3) * LOG(C2 / C3) + (C3 < C4) * LOG(C3 / C4) + (C4 < C5) * LOG(C4 / C5) + (C5 < C6) * LOG(C5 / C6) + (C6 < C7) * LOG(C6 / C7) + (C7 < C8) * LOG(C7 / C8) + (C8 < C9) * LOG(C8 / C9) + (C9 < C10) * LOG(C9 / C10) + (C10 < C11) * LOG(C10 / C11) + (C11 < C12) * LOG(C11 / C12) + (C12 < C13) * LOG(C12 / C13) + (C13 < C14) * LOG(C13 / C14) + (C14 < C15) * LOG(C14 / C15) + (C15 < C16) * LOG(C15 / C16) + (C16 < C17) * LOG(C16 / C17) + (C17 < C18) * LOG(C17 / C18) + (C18 < C19) * LOG(C18 / C19) + (C19 < C20) * LOG(C19 / C20) + (C20 < C21) * LOG(C20 / C21) + (C21 < C22) * LOG(C21 / C22) + (C22 < C23) * LOG(C22 / C23) + (C23 < C24) * LOG(C23 / C24) + (C24 < C25) * LOG(C24 / C25) + (C25 < C26) * LOG(C25 / C26) + (C26 < C27) * LOG(C26 / C27) + (C27 < C28) * LOG(C27 / C28) + (C28 < C29) * LOG(C28 / C29) + (C29 < C30) * LOG(C29 / C30) + (C30 < C31) * LOG(C30 / C31) + (C31 < C32) * LOG(C31 / C32) + (C32 < C33) * LOG(C32 / C33) + (C33 < C34) * LOG(C33 / C34) + (C34 < C35) * LOG(C34 / C35) + (C35 < C36) * LOG(C35 / C36) + (C36 < C37) * LOG(C36 / C37) + (C37 < C38) * LOG(C37 / C38) + (C38 < C39) * LOG(C38 / C39) + (C39 < C40) * LOG(C39 / C40) + (C40 < C41) * LOG(C40 / C41) + (C41 < C42) * LOG(C41 / C42) + (C42 < C43) * LOG(C42 / C43) + (C43 < C44) * LOG(C43 / C44) + (C44 < C45) * LOG(C44 / C45) + (C45 < C46) * LOG(C45 / C46) + (C46 < C47) * LOG(C46 / C47) + (C47 < C48) * LOG(C47 / C48) + (C48 < C49) * LOG(C48 / C49) + (C49 < C50) * LOG(C49 / C50)) ^ 2) / ABS((C < C1) + (C1 < C2) + (C2 < C3) + (C3 < C4) + (C4 < C5) + (C5 < C6) + (C6 < C7) + (C7 < C8) + (C8 < C9) + (C9 < C10) + (C10 < C11) + (C11 < C12) + (C12 < C13) + (C13 < C14) + (C14 < C15) + (C15 < C16) + (C16 < C17) + (C17 < C18) + (C18 < C19) + (C19 < C20) + (C20 < C21) + (C21 < C22) + (C22 < C23) + (C23 < C24) + (C24 < C25) + (C25 < C26) + (C26 < C27) + (C27 < C28) + (C28 < C29) + (C29 < C30) + (C30 < C31) + (C31 < C32) + (C32 < C33) + (C33 < C34) + (C34 < C35) + (C35 < C36) + (C36 < C37) + (C37 < C38) + (C38 < C39) + (C39 < C40) + (C40 < C41) + (C41 < C42) + (C42 < C43) + (C43 < C44) + (C44 < C45) + (C45 < C46) + (C46 < C47) + (C47 < C48) + (C48 < C49) + (C49 < C50))) / ABS((C < C1) + (C1 < C2) + (C2 < C3) + (C3 < C4) + (C4 < C5) + (C5 < C6) + (C6 < C7) + (C7 < C8) + (C8 < C9) + (C9 < C10) + (C10 < C11) + (C11 < C12) + (C12 < C13) + (C13 < C14) + (C14 < C15) + (C15 < C16) + (C16 < C17) + (C17 < C18) + (C18 < C19) + (C19 < C20) + (C20 < C21) + (C21 < C22) + (C22 < C23) + (C23 < C24) + (C24 < C25) + (C25 < C26) + (C26 < C27) + (C27 < C28) + (C28 < C29) + (C29 < C30) + (C30 < C31) + (C31 < C32) + (C32 < C33) + (C33 < C34) + (C34 < C35) + (C35 < C36) + (C36 < C37) + (C37 < C38) + (C38 < C39) + (C39 < C40) + (C40 < C41) + (C41 < C42) + (C42 < C43) + (C43 < C44) + (C44 < C45) + (C45 < C46) + (C46 < C47) + (C47 < C48) + (C48 < C49) + (C49 < C50))))
100-Period Up Days HV:
1600 * SQR(ABS(((C > C1) * LOG(C / C1) ^ 2 + (C1 > C2) * LOG(C1 / C2) ^ 2 + (C2 > C3) * LOG(C2 / C3) ^ 2 + (C3 > C4) * LOG(C3 / C4) ^ 2 + (C4 > C5) * LOG(C4 / C5) ^ 2 + (C5 > C6) * LOG(C5 / C6) ^ 2 + (C6 > C7) * LOG(C6 / C7) ^ 2 + (C7 > C8) * LOG(C7 / C8) ^ 2 + (C8 > C9) * LOG(C8 / C9) ^ 2 + (C9 > C10) * LOG(C9 / C10) ^ 2 + (C10 > C11) * LOG(C10 / C11) ^ 2 + (C11 > C12) * LOG(C11 / C12) ^ 2 + (C12 > C13) * LOG(C12 / C13) ^ 2 + (C13 > C14) * LOG(C13 / C14) ^ 2 + (C14 > C15) * LOG(C14 / C15) ^ 2 + (C15 > C16) * LOG(C15 / C16) ^ 2 + (C16 > C17) * LOG(C16 / C17) ^ 2 + (C17 > C18) * LOG(C17 / C18) ^ 2 + (C18 > C19) * LOG(C18 / C19) ^ 2 + (C19 > C20) * LOG(C19 / C20) ^ 2 + (C20 > C21) * LOG(C20 / C21) ^ 2 + (C21 > C22) * LOG(C21 / C22) ^ 2 + (C22 > C23) * LOG(C22 / C23) ^ 2 + (C23 > C24) * LOG(C23 / C24) ^ 2 + (C24 > C25) * LOG(C24 / C25) ^ 2 + (C25 > C26) * LOG(C25 / C26) ^ 2 + (C26 > C27) * LOG(C26 / C27) ^ 2 + (C27 > C28) * LOG(C27 / C28) ^ 2 + (C28 > C29) * LOG(C28 / C29) ^ 2 + (C29 > C30) * LOG(C29 / C30) ^ 2 + (C30 > C31) * LOG(C30 / C31) ^ 2 + (C31 > C32) * LOG(C31 / C32) ^ 2 + (C32 > C33) * LOG(C32 / C33) ^ 2 + (C33 > C34) * LOG(C33 / C34) ^ 2 + (C34 > C35) * LOG(C34 / C35) ^ 2 + (C35 > C36) * LOG(C35 / C36) ^ 2 + (C36 > C37) * LOG(C36 / C37) ^ 2 + (C37 > C38) * LOG(C37 / C38) ^ 2 + (C38 > C39) * LOG(C38 / C39) ^ 2 + (C39 > C40) * LOG(C39 / C40) ^ 2 + (C40 > C41) * LOG(C40 / C41) ^ 2 + (C41 > C42) * LOG(C41 / C42) ^ 2 + (C42 > C43) * LOG(C42 / C43) ^ 2 + (C43 > C44) * LOG(C43 / C44) ^ 2 + (C44 > C45) * LOG(C44 / C45) ^ 2 + (C45 > C46) * LOG(C45 / C46) ^ 2 + (C46 > C47) * LOG(C46 / C47) ^ 2 + (C47 > C48) * LOG(C47 / C48) ^ 2 + (C48 > C49) * LOG(C48 / C49) ^ 2 + (C49 > C50) * LOG(C49 / C50) ^ 2 + (C50 > C51) * LOG(C50 / C51) ^ 2 + (C51 > C52) * LOG(C51 / C52) ^ 2 + (C52 > C53) * LOG(C52 / C53) ^ 2 + (C53 > C54) * LOG(C53 / C54) ^ 2 + (C54 > C55) * LOG(C54 / C55) ^ 2 + (C55 > C56) * LOG(C55 / C56) ^ 2 + (C56 > C57) * LOG(C56 / C57) ^ 2 + (C57 > C58) * LOG(C57 / C58) ^ 2 + (C58 > C59) * LOG(C58 / C59) ^ 2 + (C59 > C60) * LOG(C59 / C60) ^ 2 + (C60 > C61) * LOG(C60 / C61) ^ 2 + (C61 > C62) * LOG(C61 / C62) ^ 2 + (C62 > C63) * LOG(C62 / C63) ^ 2 + (C63 > C64) * LOG(C63 / C64) ^ 2 + (C64 > C65) * LOG(C64 / C65) ^ 2 + (C65 > C66) * LOG(C65 / C66) ^ 2 + (C66 > C67) * LOG(C66 / C67) ^ 2 + (C67 > C68) * LOG(C67 / C68) ^ 2 + (C68 > C69) * LOG(C68 / C69) ^ 2 + (C69 > C70) * LOG(C69 / C70) ^ 2 + (C70 > C71) * LOG(C70 / C71) ^ 2 + (C71 > C72) * LOG(C71 / C72) ^ 2 + (C72 > C73) * LOG(C72 / C73) ^ 2 + (C73 > C74) * LOG(C73 / C74) ^ 2 + (C74 > C75) * LOG(C74 / C75) ^ 2 + (C75 > C76) * LOG(C75 / C76) ^ 2 + (C76 > C77) * LOG(C76 / C77) ^ 2 + (C77 > C78) * LOG(C77 / C78) ^ 2 + (C78 > C79) * LOG(C78 / C79) ^ 2 + (C79 > C80) * LOG(C79 / C80) ^ 2 + (C80 > C81) * LOG(C80 / C81) ^ 2 + (C81 > C82) * LOG(C81 / C82) ^ 2 + (C82 > C83) * LOG(C82 / C83) ^ 2 + (C83 > C84) * LOG(C83 / C84) ^ 2 + (C84 > C85) * LOG(C84 / C85) ^ 2 + (C85 > C86) * LOG(C85 / C86) ^ 2 + (C86 > C87) * LOG(C86 / C87) ^ 2 + (C87 > C88) * LOG(C87 / C88) ^ 2 + (C88 > C89) * LOG(C88 / C89) ^ 2 + (C89 > C90) * LOG(C89 / C90) ^ 2 + (C90 > C91) * LOG(C90 / C91) ^ 2 + (C91 > C92) * LOG(C91 / C92) ^ 2 + (C92 > C93) * LOG(C92 / C93) ^ 2 + (C93 > C94) * LOG(C93 / C94) ^ 2 + (C94 > C95) * LOG(C94 / C95) ^ 2 + (C95 > C96) * LOG(C95 / C96) ^ 2 + (C96 > C97) * LOG(C96 / C97) ^ 2 + (C97 > C98) * LOG(C97 / C98) ^ 2 + (C98 > C99) * LOG(C98 / C99) ^ 2 + (C99 > C100) * LOG(C99 / C100) ^ 2 + (((C > C1) * LOG(C / C1) + (C1 > C2) * LOG(C1 / C2) + (C2 > C3) * LOG(C2 / C3) + (C3 > C4) * LOG(C3 / C4) + (C4 > C5) * LOG(C4 / C5) + (C5 > C6) * LOG(C5 / C6) + (C6 > C7) * LOG(C6 / C7) + (C7 > C8) * LOG(C7 / C8) + (C8 > C9) * LOG(C8 / C9) + (C9 > C10) * LOG(C9 / C10) + (C10 > C11) * LOG(C10 / C11) + (C11 > C12) * LOG(C11 / C12) + (C12 > C13) * LOG(C12 / C13) + (C13 > C14) * LOG(C13 / C14) + (C14 > C15) * LOG(C14 / C15) + (C15 > C16) * LOG(C15 / C16) + (C16 > C17) * LOG(C16 / C17) + (C17 > C18) * LOG(C17 / C18) + (C18 > C19) * LOG(C18 / C19) + (C19 > C20) * LOG(C19 / C20) + (C20 > C21) * LOG(C20 / C21) + (C21 > C22) * LOG(C21 / C22) + (C22 > C23) * LOG(C22 / C23) + (C23 > C24) * LOG(C23 / C24) + (C24 > C25) * LOG(C24 / C25) + (C25 > C26) * LOG(C25 / C26) + (C26 > C27) * LOG(C26 / C27) + (C27 > C28) * LOG(C27 / C28) + (C28 > C29) * LOG(C28 / C29) + (C29 > C30) * LOG(C29 / C30) + (C30 > C31) * LOG(C30 / C31) + (C31 > C32) * LOG(C31 / C32) + (C32 > C33) * LOG(C32 / C33) + (C33 > C34) * LOG(C33 / C34) + (C34 > C35) * LOG(C34 / C35) + (C35 > C36) * LOG(C35 / C36) + (C36 > C37) * LOG(C36 / C37) + (C37 > C38) * LOG(C37 / C38) + (C38 > C39) * LOG(C38 / C39) + (C39 > C40) * LOG(C39 / C40) + (C40 > C41) * LOG(C40 / C41) + (C41 > C42) * LOG(C41 / C42) + (C42 > C43) * LOG(C42 / C43) + (C43 > C44) * LOG(C43 / C44) + (C44 > C45) * LOG(C44 / C45) + (C45 > C46) * LOG(C45 / C46) + (C46 > C47) * LOG(C46 / C47) + (C47 > C48) * LOG(C47 / C48) + (C48 > C49) * LOG(C48 / C49) + (C49 > C50) * LOG(C49 / C50) + (C50 > C51) * LOG(C50 / C51) + (C51 > C52) * LOG(C51 / C52) + (C52 > C53) * LOG(C52 / C53) + (C53 > C54) * LOG(C53 / C54) + (C54 > C55) * LOG(C54 / C55) + (C55 > C56) * LOG(C55 / C56) + (C56 > C57) * LOG(C56 / C57) + (C57 > C58) * LOG(C57 / C58) + (C58 > C59) * LOG(C58 / C59) + (C59 > C60) * LOG(C59 / C60) + (C60 > C61) * LOG(C60 / C61) + (C61 > C62) * LOG(C61 / C62) + (C62 > C63) * LOG(C62 / C63) + (C63 > C64) * LOG(C63 / C64) + (C64 > C65) * LOG(C64 / C65) + (C65 > C66) * LOG(C65 / C66) + (C66 > C67) * LOG(C66 / C67) + (C67 > C68) * LOG(C67 / C68) + (C68 > C69) * LOG(C68 / C69) + (C69 > C70) * LOG(C69 / C70) + (C70 > C71) * LOG(C70 / C71) + (C71 > C72) * LOG(C71 / C72) + (C72 > C73) * LOG(C72 / C73) + (C73 > C74) * LOG(C73 / C74) + (C74 > C75) * LOG(C74 / C75) + (C75 > C76) * LOG(C75 / C76) + (C76 > C77) * LOG(C76 / C77) + (C77 > C78) * LOG(C77 / C78) + (C78 > C79) * LOG(C78 / C79) + (C79 > C80) * LOG(C79 / C80) + (C80 > C81) * LOG(C80 / C81) + (C81 > C82) * LOG(C81 / C82) + (C82 > C83) * LOG(C82 / C83) + (C83 > C84) * LOG(C83 / C84) + (C84 > C85) * LOG(C84 / C85) + (C85 > C86) * LOG(C85 / C86) + (C86 > C87) * LOG(C86 / C87) + (C87 > C88) * LOG(C87 / C88) + (C88 > C89) * LOG(C88 / C89) + (C89 > C90) * LOG(C89 / C90) + (C90 > C91) * LOG(C90 / C91) + (C91 > C92) * LOG(C91 / C92) + (C92 > C93) * LOG(C92 / C93) + (C93 > C94) * LOG(C93 / C94) + (C94 > C95) * LOG(C94 / C95) + (C95 > C96) * LOG(C95 / C96) + (C96 > C97) * LOG(C96 / C97) + (C97 > C98) * LOG(C97 / C98) + (C98 > C99) * LOG(C98 / C99) + (C99 > C100) * LOG(C99 / C100)) ^ 2) / ABS((C > C1) + (C1 > C2) + (C2 > C3) + (C3 > C4) + (C4 > C5) + (C5 > C6) + (C6 > C7) + (C7 > C8) + (C8 > C9) + (C9 > C10) + (C10 > C11) + (C11 > C12) + (C12 > C13) + (C13 > C14) + (C14 > C15) + (C15 > C16) + (C16 > C17) + (C17 > C18) + (C18 > C19) + (C19 > C20) + (C20 > C21) + (C21 > C22) + (C22 > C23) + (C23 > C24) + (C24 > C25) + (C25 > C26) + (C26 > C27) + (C27 > C28) + (C28 > C29) + (C29 > C30) + (C30 > C31) + (C31 > C32) + (C32 > C33) + (C33 > C34) + (C34 > C35) + (C35 > C36) + (C36 > C37) + (C37 > C38) + (C38 > C39) + (C39 > C40) + (C40 > C41) + (C41 > C42) + (C42 > C43) + (C43 > C44) + (C44 > C45) + (C45 > C46) + (C46 > C47) + (C47 > C48) + (C48 > C49) + (C49 > C50) + (C50 > C51) + (C51 > C52) + (C52 > C53) + (C53 > C54) + (C54 > C55) + (C55 > C56) + (C56 > C57) + (C57 > C58) + (C58 > C59) + (C59 > C60) + (C60 > C61) + (C61 > C62) + (C62 > C63) + (C63 > C64) + (C64 > C65) + (C65 > C66) + (C66 > C67) + (C67 > C68) + (C68 > C69) + (C69 > C70) + (C70 > C71) + (C71 > C72) + (C72 > C73) + (C73 > C74) + (C74 > C75) + (C75 > C76) + (C76 > C77) + (C77 > C78) + (C78 > C79) + (C79 > C80) + (C80 > C81) + (C81 > C82) + (C82 > C83) + (C83 > C84) + (C84 > C85) + (C85 > C86) + (C86 > C87) + (C87 > C88) + (C88 > C89) + (C89 > C90) + (C90 > C91) + (C91 > C92) + (C92 > C93) + (C93 > C94) + (C94 > C95) + (C95 > C96) + (C96 > C97) + (C97 > C98) + (C98 > C99) + (C99 > C100))) / ABS((C > C1) + (C1 > C2) + (C2 > C3) + (C3 > C4) + (C4 > C5) + (C5 > C6) + (C6 > C7) + (C7 > C8) + (C8 > C9) + (C9 > C10) + (C10 > C11) + (C11 > C12) + (C12 > C13) + (C13 > C14) + (C14 > C15) + (C15 > C16) + (C16 > C17) + (C17 > C18) + (C18 > C19) + (C19 > C20) + (C20 > C21) + (C21 > C22) + (C22 > C23) + (C23 > C24) + (C24 > C25) + (C25 > C26) + (C26 > C27) + (C27 > C28) + (C28 > C29) + (C29 > C30) + (C30 > C31) + (C31 > C32) + (C32 > C33) + (C33 > C34) + (C34 > C35) + (C35 > C36) + (C36 > C37) + (C37 > C38) + (C38 > C39) + (C39 > C40) + (C40 > C41) + (C41 > C42) + (C42 > C43) + (C43 > C44) + (C44 > C45) + (C45 > C46) + (C46 > C47) + (C47 > C48) + (C48 > C49) + (C49 > C50) + (C50 > C51) + (C51 > C52) + (C52 > C53) + (C53 > C54) + (C54 > C55) + (C55 > C56) + (C56 > C57) + (C57 > C58) + (C58 > C59) + (C59 > C60) + (C60 > C61) + (C61 > C62) + (C62 > C63) + (C63 > C64) + (C64 > C65) + (C65 > C66) + (C66 > C67) + (C67 > C68) + (C68 > C69) + (C69 > C70) + (C70 > C71) + (C71 > C72) + (C72 > C73) + (C73 > C74) + (C74 > C75) + (C75 > C76) + (C76 > C77) + (C77 > C78) + (C78 > C79) + (C79 > C80) + (C80 > C81) + (C81 > C82) + (C82 > C83) + (C83 > C84) + (C84 > C85) + (C85 > C86) + (C86 > C87) + (C87 > C88) + (C88 > C89) + (C89 > C90) + (C90 > C91) + (C91 > C92) + (C92 > C93) + (C93 > C94) + (C94 > C95) + (C95 > C96) + (C96 > C97) + (C97 > C98) + (C98 > C99) + (C99 > C100))))
100-Period Down Days HV:
1600 * SQR(ABS(((C < C1) * LOG(C / C1) ^ 2 + (C1 < C2) * LOG(C1 / C2) ^ 2 + (C2 < C3) * LOG(C2 / C3) ^ 2 + (C3 < C4) * LOG(C3 / C4) ^ 2 + (C4 < C5) * LOG(C4 / C5) ^ 2 + (C5 < C6) * LOG(C5 / C6) ^ 2 + (C6 < C7) * LOG(C6 / C7) ^ 2 + (C7 < C8) * LOG(C7 / C8) ^ 2 + (C8 < C9) * LOG(C8 / C9) ^ 2 + (C9 < C10) * LOG(C9 / C10) ^ 2 + (C10 < C11) * LOG(C10 / C11) ^ 2 + (C11 < C12) * LOG(C11 / C12) ^ 2 + (C12 < C13) * LOG(C12 / C13) ^ 2 + (C13 < C14) * LOG(C13 / C14) ^ 2 + (C14 < C15) * LOG(C14 / C15) ^ 2 + (C15 < C16) * LOG(C15 / C16) ^ 2 + (C16 < C17) * LOG(C16 / C17) ^ 2 + (C17 < C18) * LOG(C17 / C18) ^ 2 + (C18 < C19) * LOG(C18 / C19) ^ 2 + (C19 < C20) * LOG(C19 / C20) ^ 2 + (C20 < C21) * LOG(C20 / C21) ^ 2 + (C21 < C22) * LOG(C21 / C22) ^ 2 + (C22 < C23) * LOG(C22 / C23) ^ 2 + (C23 < C24) * LOG(C23 / C24) ^ 2 + (C24 < C25) * LOG(C24 / C25) ^ 2 + (C25 < C26) * LOG(C25 / C26) ^ 2 + (C26 < C27) * LOG(C26 / C27) ^ 2 + (C27 < C28) * LOG(C27 / C28) ^ 2 + (C28 < C29) * LOG(C28 / C29) ^ 2 + (C29 < C30) * LOG(C29 / C30) ^ 2 + (C30 < C31) * LOG(C30 / C31) ^ 2 + (C31 < C32) * LOG(C31 / C32) ^ 2 + (C32 < C33) * LOG(C32 / C33) ^ 2 + (C33 < C34) * LOG(C33 / C34) ^ 2 + (C34 < C35) * LOG(C34 / C35) ^ 2 + (C35 < C36) * LOG(C35 / C36) ^ 2 + (C36 < C37) * LOG(C36 / C37) ^ 2 + (C37 < C38) * LOG(C37 / C38) ^ 2 + (C38 < C39) * LOG(C38 / C39) ^ 2 + (C39 < C40) * LOG(C39 / C40) ^ 2 + (C40 < C41) * LOG(C40 / C41) ^ 2 + (C41 < C42) * LOG(C41 / C42) ^ 2 + (C42 < C43) * LOG(C42 / C43) ^ 2 + (C43 < C44) * LOG(C43 / C44) ^ 2 + (C44 < C45) * LOG(C44 / C45) ^ 2 + (C45 < C46) * LOG(C45 / C46) ^ 2 + (C46 < C47) * LOG(C46 / C47) ^ 2 + (C47 < C48) * LOG(C47 / C48) ^ 2 + (C48 < C49) * LOG(C48 / C49) ^ 2 + (C49 < C50) * LOG(C49 / C50) ^ 2 + (C50 < C51) * LOG(C50 / C51) ^ 2 + (C51 < C52) * LOG(C51 / C52) ^ 2 + (C52 < C53) * LOG(C52 / C53) ^ 2 + (C53 < C54) * LOG(C53 / C54) ^ 2 + (C54 < C55) * LOG(C54 / C55) ^ 2 + (C55 < C56) * LOG(C55 / C56) ^ 2 + (C56 < C57) * LOG(C56 / C57) ^ 2 + (C57 < C58) * LOG(C57 / C58) ^ 2 + (C58 < C59) * LOG(C58 / C59) ^ 2 + (C59 < C60) * LOG(C59 / C60) ^ 2 + (C60 < C61) * LOG(C60 / C61) ^ 2 + (C61 < C62) * LOG(C61 / C62) ^ 2 + (C62 < C63) * LOG(C62 / C63) ^ 2 + (C63 < C64) * LOG(C63 / C64) ^ 2 + (C64 < C65) * LOG(C64 / C65) ^ 2 + (C65 < C66) * LOG(C65 / C66) ^ 2 + (C66 < C67) * LOG(C66 / C67) ^ 2 + (C67 < C68) * LOG(C67 / C68) ^ 2 + (C68 < C69) * LOG(C68 / C69) ^ 2 + (C69 < C70) * LOG(C69 / C70) ^ 2 + (C70 < C71) * LOG(C70 / C71) ^ 2 + (C71 < C72) * LOG(C71 / C72) ^ 2 + (C72 < C73) * LOG(C72 / C73) ^ 2 + (C73 < C74) * LOG(C73 / C74) ^ 2 + (C74 < C75) * LOG(C74 / C75) ^ 2 + (C75 < C76) * LOG(C75 / C76) ^ 2 + (C76 < C77) * LOG(C76 / C77) ^ 2 + (C77 < C78) * LOG(C77 / C78) ^ 2 + (C78 < C79) * LOG(C78 / C79) ^ 2 + (C79 < C80) * LOG(C79 / C80) ^ 2 + (C80 < C81) * LOG(C80 / C81) ^ 2 + (C81 < C82) * LOG(C81 / C82) ^ 2 + (C82 < C83) * LOG(C82 / C83) ^ 2 + (C83 < C84) * LOG(C83 / C84) ^ 2 + (C84 < C85) * LOG(C84 / C85) ^ 2 + (C85 < C86) * LOG(C85 / C86) ^ 2 + (C86 < C87) * LOG(C86 / C87) ^ 2 + (C87 < C88) * LOG(C87 / C88) ^ 2 + (C88 < C89) * LOG(C88 / C89) ^ 2 + (C89 < C90) * LOG(C89 / C90) ^ 2 + (C90 < C91) * LOG(C90 / C91) ^ 2 + (C91 < C92) * LOG(C91 / C92) ^ 2 + (C92 < C93) * LOG(C92 / C93) ^ 2 + (C93 < C94) * LOG(C93 / C94) ^ 2 + (C94 < C95) * LOG(C94 / C95) ^ 2 + (C95 < C96) * LOG(C95 / C96) ^ 2 + (C96 < C97) * LOG(C96 / C97) ^ 2 + (C97 < C98) * LOG(C97 / C98) ^ 2 + (C98 < C99) * LOG(C98 / C99) ^ 2 + (C99 < C100) * LOG(C99 / C100) ^ 2 + (((C < C1) * LOG(C / C1) + (C1 < C2) * LOG(C1 / C2) + (C2 < C3) * LOG(C2 / C3) + (C3 < C4) * LOG(C3 / C4) + (C4 < C5) * LOG(C4 / C5) + (C5 < C6) * LOG(C5 / C6) + (C6 < C7) * LOG(C6 / C7) + (C7 < C8) * LOG(C7 / C8) + (C8 < C9) * LOG(C8 / C9) + (C9 < C10) * LOG(C9 / C10) + (C10 < C11) * LOG(C10 / C11) + (C11 < C12) * LOG(C11 / C12) + (C12 < C13) * LOG(C12 / C13) + (C13 < C14) * LOG(C13 / C14) + (C14 < C15) * LOG(C14 / C15) + (C15 < C16) * LOG(C15 / C16) + (C16 < C17) * LOG(C16 / C17) + (C17 < C18) * LOG(C17 / C18) + (C18 < C19) * LOG(C18 / C19) + (C19 < C20) * LOG(C19 / C20) + (C20 < C21) * LOG(C20 / C21) + (C21 < C22) * LOG(C21 / C22) + (C22 < C23) * LOG(C22 / C23) + (C23 < C24) * LOG(C23 / C24) + (C24 < C25) * LOG(C24 / C25) + (C25 < C26) * LOG(C25 / C26) + (C26 < C27) * LOG(C26 / C27) + (C27 < C28) * LOG(C27 / C28) + (C28 < C29) * LOG(C28 / C29) + (C29 < C30) * LOG(C29 / C30) + (C30 < C31) * LOG(C30 / C31) + (C31 < C32) * LOG(C31 / C32) + (C32 < C33) * LOG(C32 / C33) + (C33 < C34) * LOG(C33 / C34) + (C34 < C35) * LOG(C34 / C35) + (C35 < C36) * LOG(C35 / C36) + (C36 < C37) * LOG(C36 / C37) + (C37 < C38) * LOG(C37 / C38) + (C38 < C39) * LOG(C38 / C39) + (C39 < C40) * LOG(C39 / C40) + (C40 < C41) * LOG(C40 / C41) + (C41 < C42) * LOG(C41 / C42) + (C42 < C43) * LOG(C42 / C43) + (C43 < C44) * LOG(C43 / C44) + (C44 < C45) * LOG(C44 / C45) + (C45 < C46) * LOG(C45 / C46) + (C46 < C47) * LOG(C46 / C47) + (C47 < C48) * LOG(C47 / C48) + (C48 < C49) * LOG(C48 / C49) + (C49 < C50) * LOG(C49 / C50) + (C50 < C51) * LOG(C50 / C51) + (C51 < C52) * LOG(C51 / C52) + (C52 < C53) * LOG(C52 / C53) + (C53 < C54) * LOG(C53 / C54) + (C54 < C55) * LOG(C54 / C55) + (C55 < C56) * LOG(C55 / C56) + (C56 < C57) * LOG(C56 / C57) + (C57 < C58) * LOG(C57 / C58) + (C58 < C59) * LOG(C58 / C59) + (C59 < C60) * LOG(C59 / C60) + (C60 < C61) * LOG(C60 / C61) + (C61 < C62) * LOG(C61 / C62) + (C62 < C63) * LOG(C62 / C63) + (C63 < C64) * LOG(C63 / C64) + (C64 < C65) * LOG(C64 / C65) + (C65 < C66) * LOG(C65 / C66) + (C66 < C67) * LOG(C66 / C67) + (C67 < C68) * LOG(C67 / C68) + (C68 < C69) * LOG(C68 / C69) + (C69 < C70) * LOG(C69 / C70) + (C70 < C71) * LOG(C70 / C71) + (C71 < C72) * LOG(C71 / C72) + (C72 < C73) * LOG(C72 / C73) + (C73 < C74) * LOG(C73 / C74) + (C74 < C75) * LOG(C74 / C75) + (C75 < C76) * LOG(C75 / C76) + (C76 < C77) * LOG(C76 / C77) + (C77 < C78) * LOG(C77 / C78) + (C78 < C79) * LOG(C78 / C79) + (C79 < C80) * LOG(C79 / C80) + (C80 < C81) * LOG(C80 / C81) + (C81 < C82) * LOG(C81 / C82) + (C82 < C83) * LOG(C82 / C83) + (C83 < C84) * LOG(C83 / C84) + (C84 < C85) * LOG(C84 / C85) + (C85 < C86) * LOG(C85 / C86) + (C86 < C87) * LOG(C86 / C87) + (C87 < C88) * LOG(C87 / C88) + (C88 < C89) * LOG(C88 / C89) + (C89 < C90) * LOG(C89 / C90) + (C90 < C91) * LOG(C90 / C91) + (C91 < C92) * LOG(C91 / C92) + (C92 < C93) * LOG(C92 / C93) + (C93 < C94) * LOG(C93 / C94) + (C94 < C95) * LOG(C94 / C95) + (C95 < C96) * LOG(C95 / C96) + (C96 < C97) * LOG(C96 / C97) + (C97 < C98) * LOG(C97 / C98) + (C98 < C99) * LOG(C98 / C99) + (C99 < C100) * LOG(C99 / C100)) ^ 2) / ABS((C < C1) + (C1 < C2) + (C2 < C3) + (C3 < C4) + (C4 < C5) + (C5 < C6) + (C6 < C7) + (C7 < C8) + (C8 < C9) + (C9 < C10) + (C10 < C11) + (C11 < C12) + (C12 < C13) + (C13 < C14) + (C14 < C15) + (C15 < C16) + (C16 < C17) + (C17 < C18) + (C18 < C19) + (C19 < C20) + (C20 < C21) + (C21 < C22) + (C22 < C23) + (C23 < C24) + (C24 < C25) + (C25 < C26) + (C26 < C27) + (C27 < C28) + (C28 < C29) + (C29 < C30) + (C30 < C31) + (C31 < C32) + (C32 < C33) + (C33 < C34) + (C34 < C35) + (C35 < C36) + (C36 < C37) + (C37 < C38) + (C38 < C39) + (C39 < C40) + (C40 < C41) + (C41 < C42) + (C42 < C43) + (C43 < C44) + (C44 < C45) + (C45 < C46) + (C46 < C47) + (C47 < C48) + (C48 < C49) + (C49 < C50) + (C50 < C51) + (C51 < C52) + (C52 < C53) + (C53 < C54) + (C54 < C55) + (C55 < C56) + (C56 < C57) + (C57 < C58) + (C58 < C59) + (C59 < C60) + (C60 < C61) + (C61 < C62) + (C62 < C63) + (C63 < C64) + (C64 < C65) + (C65 < C66) + (C66 < C67) + (C67 < C68) + (C68 < C69) + (C69 < C70) + (C70 < C71) + (C71 < C72) + (C72 < C73) + (C73 < C74) + (C74 < C75) + (C75 < C76) + (C76 < C77) + (C77 < C78) + (C78 < C79) + (C79 < C80) + (C80 < C81) + (C81 < C82) + (C82 < C83) + (C83 < C84) + (C84 < C85) + (C85 < C86) + (C86 < C87) + (C87 < C88) + (C88 < C89) + (C89 < C90) + (C90 < C91) + (C91 < C92) + (C92 < C93) + (C93 < C94) + (C94 < C95) + (C95 < C96) + (C96 < C97) + (C97 < C98) + (C98 < C99) + (C99 < C100))) / ABS((C < C1) + (C1 < C2) + (C2 < C3) + (C3 < C4) + (C4 < C5) + (C5 < C6) + (C6 < C7) + (C7 < C8) + (C8 < C9) + (C9 < C10) + (C10 < C11) + (C11 < C12) + (C12 < C13) + (C13 < C14) + (C14 < C15) + (C15 < C16) + (C16 < C17) + (C17 < C18) + (C18 < C19) + (C19 < C20) + (C20 < C21) + (C21 < C22) + (C22 < C23) + (C23 < C24) + (C24 < C25) + (C25 < C26) + (C26 < C27) + (C27 < C28) + (C28 < C29) + (C29 < C30) + (C30 < C31) + (C31 < C32) + (C32 < C33) + (C33 < C34) + (C34 < C35) + (C35 < C36) + (C36 < C37) + (C37 < C38) + (C38 < C39) + (C39 < C40) + (C40 < C41) + (C41 < C42) + (C42 < C43) + (C43 < C44) + (C44 < C45) + (C45 < C46) + (C46 < C47) + (C47 < C48) + (C48 < C49) + (C49 < C50) + (C50 < C51) + (C51 < C52) + (C52 < C53) + (C53 < C54) + (C54 < C55) + (C55 < C56) + (C56 < C57) + (C57 < C58) + (C58 < C59) + (C59 < C60) + (C60 < C61) + (C61 < C62) + (C62 < C63) + (C63 < C64) + (C64 < C65) + (C65 < C66) + (C66 < C67) + (C67 < C68) + (C68 < C69) + (C69 < C70) + (C70 < C71) + (C71 < C72) + (C72 < C73) + (C73 < C74) + (C74 < C75) + (C75 < C76) + (C76 < C77) + (C77 < C78) + (C78 < C79) + (C79 < C80) + (C80 < C81) + (C81 < C82) + (C82 < C83) + (C83 < C84) + (C84 < C85) + (C85 < C86) + (C86 < C87) + (C87 < C88) + (C88 < C89) + (C89 < C90) + (C90 < C91) + (C91 < C92) + (C92 < C93) + (C93 < C94) + (C94 < C95) + (C95 < C96) + (C96 < C97) + (C97 < C98) + (C98 < C99) + (C99 < C100))))
You may wish to review the following:
How to create a Personal Criteria Forumula (PCF)
Historical Volatility (HV)
Handy PCF example formulas to help you learn the syntax of PCFs!
PCF Formula Descriptions
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 3/25/2005
Posts: 22
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Thank you, Bruce
You're the champion of pcf's and you made another fantastic job! This is exactly what I was looking for.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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You're welcome. It's too bad they are so long. Maybe I'll figure out an optimization that wasn't obvious to me at the time and shorten them at some point.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 1/1/2005
Posts: 2,645
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QUOTE (stanaction) 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.
stanaction,
Your request could be interpreted in two different ways:
1) Compute an HV40 using the 40 up days and compute an HV60 using the 60 down days.
2) Compute an HV100 using the 40 up days while replacing the other 60 days by unchanged days and compute an HV100 using the 60 down days while replacing the other 40 days by unchanged days.
Lets consider two examples:
i) Suppose a stock went from 10 to 100 the first day and was down 0.01 for each of the succeeding 99 days. Method 1) would return 0 for the up day computation and a small but positive number for the down day computation. Method 2) would return a moderately positive number for the up day computation and a small but positive number for the down day computation.
ii) Suppose a stock went from 10 to 100 the first day, was up 0.01 the next day, and was down 0.01 for each of the succeeding 98 days. Method 1) would return an extremely large number for the up day computation and a small but positive number for the down day computation. Method 2) would return approximately the same as it did for Example i).
I doubt you want that one uptick to so radically change the results.
Bruce supplied Method 1). If you intended Method 2), the lengths of the PCFs will be about half that for Method 1).
Thanks,
Jim Murphy
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Registered User
Joined: 1/1/2005
Posts: 2,645
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There is a nice theorem concerning the calculations using Method 2) above. Define:
HVP - the HV of period P.
upHVP - the up days HVP calculated by Method 2).
dnHVP - the down days HVP calculated by Method 2).
Theorem:
(upHVP)^2 + (dnHVP)^2 <= (HVP)^2
with equality if and only if there is no up day or no down day in the P days.
Thanks,
Jim Murphy
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