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0002ct
 Posted : Monday, May 14, 2018 10:57:56 AM
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Joined: 11/19/2015
Posts: 447

Hello.

A. Is there a way to sum the five-largest 55-period Historical Vol bars over a lookback?

B. Is it possible to separately average the same by the sample size (5)?

I'm trying to output a sum for the five-highest 55-bar HV bars evaluated over the last 200 bars, (and then secondarily I'm looking to average that value).

Thank you for taking a look at this problem when convenient.

Bruce_L
 Posted : Monday, May 14, 2018 12:40:53 PM

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Joined: 10/7/2004
Posts: 64,759

It is possible, but not practical to do what you want. The resulting formula would be too long and slow.

-Bruce
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0002ct
 Posted : Monday, May 14, 2018 1:10:11 PM
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Joined: 11/19/2015
Posts: 447

Ok, thanks for looking over it, Bruce. Much appreciated.

0002ct
 Posted : Wednesday, May 16, 2018 1:24:07 PM
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Posts: 447

Bruce, to revisit this briefly, am I correctly using the following to output the highest 100-day HV as evaluated over the most recent 10 bars?

Max(600 * ABS((SUM(LOG(C / C1) ^ 2, 100) - LOG(C / C100) ^ 2 / 100) / 100) ^ .5, 10)

Bruce_L
 Posted : Wednesday, May 16, 2018 1:27:17 PM

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Posts: 64,759

That should be a 1600 at the front instead of a 600, but otherwise it looks correct to me.

-Bruce
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StockGuy
 Posted : Wednesday, May 16, 2018 1:27:47 PM

Joined: 9/30/2004
Posts: 9,167

Yes, that will return the highest value for...

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

...over the last 10 bars.

0002ct
 Posted : Wednesday, May 16, 2018 1:58:23 PM
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Joined: 11/19/2015
Posts: 447

Oops, yes, 1600. Thank you Bruce and StockGuy. Much appreciated.

Bruce_L
 Posted : Wednesday, May 16, 2018 1:58:42 PM

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Joined: 10/7/2004
Posts: 64,759

You're welcome.

-Bruce
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