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Registered User
Joined: 11/19/2015
Posts: 459
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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.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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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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Registered User
Joined: 11/19/2015
Posts: 459
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Ok, thanks for looking over it, Bruce. Much appreciated.
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Registered User
Joined: 11/19/2015
Posts: 459
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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)
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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That should be a 1600 at the front instead of a 600, but otherwise it looks correct to me.
-Bruce
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Administration
Joined: 9/30/2004
Posts: 9,187
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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.
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Registered User
Joined: 11/19/2015
Posts: 459
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Oops, yes, 1600. Thank you Bruce and StockGuy. Much appreciated.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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You're welcome.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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