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 12 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
