Registered User
Joined: 11/19/2015
Posts: 459
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Hello. Is it possible to do an evaluation like A but using the historical vol forumula in B instead of the H and L values max/min values?
A. 100 * (AVG(MAXH5 / MINL5, 96) - 1)
B. (1600 * ABS((SUM(LOG(C / C1) ^ 2, 23) - LOG(C / C23) ^ 2 / 23) / 23) ^ .5)
Thank you very much for any thoughts.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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I am really not understanding what is being asked. Do you want to use the historical volatility values instead of price in the first formula?
100 * (AVG(MAX(ABS((SUM(LOG(C / C1) ^ 2, 23) - LOG(C / C23) ^ 2 / 23) / 23) ^ .5, 5) / MIN(ABS((SUM(LOG(C / C1) ^ 2, 23) - LOG(C / C23) ^ 2 / 23) / 23) ^ .5, 5), 96) - 1)
-Bruce
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Registered User
Joined: 11/19/2015
Posts: 459
|
Yes, I think this is exactly it. I wanted to use the min/max values for historical vol instead of price.
Thank you very much. Works perfectly.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
|
You're welcome.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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