Historical Volatility Trading System System for: MetaStock

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Added: February 07, 2007

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Historical Volatility 10 day

Std(Log(C/Ref(C,-1)),10)*Sqrt(365)*100

Historical Volatility 100 day

Std(Log(C/Ref(C,-1)),100)*Sqrt(365)*100

Next plot both indicators in the same inner window. If the Scaling Optionsdialog appears, choose the Merge with Scale on Right (or left) option.
I find it easier to see the Historical Volatility signals by combining the 10 and 100 day indicators into the following indicator.

Historical Volatility Indicator

Std(Log(C/Ref(C,-1)),10)/Std(Log(C/Ref(C,-1)),100)

Plot this indicator in MetaStock for Windows, then click your mouse button on the indicator. Choose Historical Volatility Indicator Properties and then choose theHorizontal Lines page. Add a horizontal line at .5 and then choose the OK button. You nowknow the 10 period volatilityis less than half the 100 period volatility anytime this indicatorcrosses below its horizontal line.
To test trading systems using this indicator it would he helpful touse the alert function alongwith a trend following indicator, such as the following example:

Historical Volatility Trading System

Enter Long:
Cross(CLOSE,Mov(C,20,E)) AND Alert(Fml("Historical Volatility Indicator")<=5,10)

Enter Short:
Cross(Mov(C,20,E),CLOSE) AND Alert(Fml("Historical VolatilityIndicator")<=5,10)

Code:

Code to difficult? Find somebody to help you with coding here.

Source: http://www.equis.com

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