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Registered User Joined: 12/26/2009 Posts: 50
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Can you give me the formula to calculate 100-day HV with TC v.7
Thanks, André
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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The Historical Volatility (HV) topic explores the creation of Personal Criteria Formulas related to Historical Volatility. Please try the following:
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(C20 / C21) ^ 2 + LOG(C21 / C22) ^ 2 + LOG(C22 / C23) ^ 2 + LOG(C23 / C24) ^ 2 + LOG(C24 / C25) ^ 2 + LOG(C25 / C26) ^ 2 + LOG(C26 / C27) ^ 2 + LOG(C27 / C28) ^ 2 + LOG(C28 / C29) ^ 2 + LOG(C29 / C30) ^ 2 + LOG(C30 / C31) ^ 2 + LOG(C31 / C32) ^ 2 + LOG(C32 / C33) ^ 2 + LOG(C33 / C34) ^ 2 + LOG(C34 / C35) ^ 2 + LOG(C35 / C36) ^ 2 + LOG(C36 / C37) ^ 2 + LOG(C37 / C38) ^ 2 + LOG(C38 / C39) ^ 2 + LOG(C39 / C40) ^ 2 + LOG(C40 / C41) ^ 2 + LOG(C41 / C42) ^ 2 + LOG(C42 / C43) ^ 2 + LOG(C43 / C44) ^ 2 + LOG(C44 / C45) ^ 2 + LOG(C45 / C46) ^ 2 + LOG(C46 / C47) ^ 2 + LOG(C47 / C48) ^ 2 + LOG(C48 / C49) ^ 2 + LOG(C49 / C50) ^ 2 + LOG(C50 / C51) ^ 2 + LOG(C51 / C52) ^ 2 + LOG(C52 / C53) ^ 2 + LOG(C53 / C54) ^ 2 + LOG(C54 / C55) ^ 2 + LOG(C55 / C56) ^ 2 + LOG(C56 / C57) ^ 2 + LOG(C57 / C58) ^ 2 + LOG(C58 / C59) ^ 2 + LOG(C59 / C60) ^ 2 + LOG(C60 / C61) ^ 2 + LOG(C61 / C62) ^ 2 + LOG(C62 / C63) ^ 2 + LOG(C63 / C64) ^ 2 + LOG(C64 / C65) ^ 2 + LOG(C65 / C66) ^ 2 + LOG(C66 / C67) ^ 2 + LOG(C67 / C68) ^ 2 + LOG(C68 / C69) ^ 2 + LOG(C69 / C70) ^ 2 + LOG(C70 / C71) ^ 2 + LOG(C71 / C72) ^ 2 + LOG(C72 / C73) ^ 2 + LOG(C73 / C74) ^ 2 + LOG(C74 / C75) ^ 2 + LOG(C75 / C76) ^ 2 + LOG(C76 / C77) ^ 2 + LOG(C77 / C78) ^ 2 + LOG(C78 / C79) ^ 2 + LOG(C79 / C80) ^ 2 + LOG(C80 / C81) ^ 2 + LOG(C81 / C82) ^ 2 + LOG(C82 / C83) ^ 2 + LOG(C83 / C84) ^ 2 + LOG(C84 / C85) ^ 2 + LOG(C85 / C86) ^ 2 + LOG(C86 / C87) ^ 2 + LOG(C87 / C88) ^ 2 + LOG(C88 / C89) ^ 2 + LOG(C89 / C90) ^ 2 + LOG(C90 / C91) ^ 2 + LOG(C91 / C92) ^ 2 + LOG(C92 / C93) ^ 2 + LOG(C93 / C94) ^ 2 + LOG(C94 / C95) ^ 2 + LOG(C95 / C96) ^ 2 + LOG(C96 / C97) ^ 2 + LOG(C97 / C98) ^ 2 + LOG(C98 / C99) ^ 2 + LOG(C99 / C100) ^ 2 - (LOG(C / C100) ^ 2) / 100) / 100)
-Bruce Personal Criteria Formulas TC2000 Support Articles
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Registered User Joined: 10/7/2004 Posts: 80
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Bruce,
could you please reduce this down to a 20 day HV ?
Thank you
mark
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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A 20-Day Historical Volatility Indicator Formula can be written as:
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)
-Bruce Personal Criteria Formulas TC2000 Support Articles
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Registered User Joined: 10/7/2004 Posts: 80
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Thanks much Bruce!
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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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