| Welcome Guest, please sign in to participate in a discussion. | Search | Active Topics | |
Registered User
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
|
|
Worden Trainer
Joined: 10/1/2004
Posts: 18,819
|
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
Here to Help!
|
|
Registered User
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!
|
|
Registered User
Joined: 5/21/2007
Posts: 13
|
Can I use this for block charts
|
|
Worden Trainer
Joined: 10/7/2004
Posts: 65,138
|
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
Personal Criteria Formulas
TC2000 Support Articles
|
|
Worden Trainer
Joined: 10/7/2004
Posts: 65,138
|
jthanki,
You may wish to review the following:
Historic Volatility (HV) Code Block
Strategy for scanning watchlist for Historical Volitility
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
|
|
Registered User
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
|
|
Worden Trainer
Joined: 10/7/2004
Posts: 65,138
|
Yes, your formulas are correct.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
|
|
Registered User
Joined: 1/28/2005
Posts: 6,049
|
Can the size of the 100HV be reduced with the new PCF language?
Thanks
|
|
Worden Trainer
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
Personal Criteria Formulas
TC2000 Support Articles
|
|
Registered User
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.
|
|
Worden Trainer
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
Personal Criteria Formulas
TC2000 Support Articles
|
|
|
Guest-1 |