HPotter

Historical Volatility

Markets oscillate from periods of low volatility to high volatility
and back. The author`s research indicates that after periods of
extremely low volatility, volatility tends to increase and price
may move sharply. This increase in volatility tends to correlate
with the beginning of short- to intermediate-term moves in price.
They have found that we can identify which markets are about to make
such a move by measuring the historical volatility and the application
of pattern recognition.
The indicator is calculating as the standard deviation of day-to-day
logarithmic closing price changes expressed as an annualized percentage.
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////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 16/07/2014
// Markets oscillate from periods of low volatility to high volatility 
// and back. The author`s research indicates that after periods of 
// extremely low volatility, volatility tends to increase and price 
// may move sharply. This increase in volatility tends to correlate 
// with the beginning of short- to intermediate-term moves in price. 
// They have found that we can identify which markets are about to make 
// such a move by measuring the historical volatility and the application 
// of pattern recognition.
// The indicator is calculating as the standard deviation of day-to-day 
// logarithmic closing price changes expressed as an annualized percentage.
////////////////////////////////////////////////////////////
study(title="Historical Volatility")
LookBack = input(20, minval=1)
Annual = input(365, minval=1)
hline(0, color=purple, linestyle=dashed)
xPrice = log(close / close[1])
nPer = iff(isintraday or isdaily, 1, 7)
xPriceAvg = sma(xPrice, LookBack)
xStdDev = stdev(xPrice, LookBack)
HVol = (xStdDev * sqrt(Annual / nPer)) * 100
plot(HVol, color=blue, title="Historical Volatility")
I was looking for the original HV code.

Thanks
Reply
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