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| Added: June 06, 2008 |
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Origin: omega-list
Written by: Craig Nelson
Date found: 6 oct 97
OK, a little background. This indicator will calculate the correct Historical Volatility, that is the REAL historical volatility based on the daily changes(and not Omega definition of volatility) in closing prices. As far as I know, and based on what I see in my indicator list, there isn't a UF or Indicator that does this. For those that trade options, historical vol is what is compared to market-implied vol to help detect overpriced/underpriced situations and how to figure out if premiums are fat or lean. Anyway, the Indicator verifies OK, but when I try to format the indicator in a chart I get a GPF from TS. I'm not sure if this might be caused by a "stack overflow" from the multitudinous calculations, or if there is a "divide by zero" problem that slipped through the cracks. Can others copy and paste this code into TS and see if they get a GPF?
The above code is a combination of "reinventing the wheel", "divide and conquer", and the useful suggestions that poured in after I sent out my initial request. I'm certainly no EL expert, but I'm learning. Thanks to all who helped. Hopefully, if we can get the GPF bug worked out this should be a useful indicator to have, assuming Omega hasn't already included it in TS 4.0 or their next release. My version of TS is 3.51.
Code:
Type : Indicator, Name : Historical Volatility
{ Name: Historical Volatility Created: 10/6/97 02:05 PM }
vars:
SumSqr(0),
Mean(0),
Sum(0),
counter(0),
Hist_Vol(0);
inputs:
Length(18);
array:
Stdarray[100](0);
if Length > 0 and close > 0 then begin
Sum = 0;
for counter = 0 to (Length-1) begin
Stdarray[counter] = Log(close[counter] / close[counter+1]);
Sum = Stdarray[counter] + Sum;
end;
Mean = Sum / Length;
SumSqr = 0;
for counter = 0 to (Length-1) begin
SumSqr = SumSqr + ((Stdarray[counter] - Mean) * (Stdarray[counter] -
Mean));
end;
Hist_Vol = SquareRoot(SumSqr / Length)*SquareRoot(250);
end
else
Hist_Vol = 0;
plot1(Hist_Vol, "Hist_Vol");
Author: Craig Nelson
Source: http://home.iae.nl
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