HPotter

Statistical Volatility - Extreme Value Method

This indicator used to calculate the statistical volatility, sometime
called historical volatility, based on the Extreme Value Method.
Please use this link to get more information about Volatility.
Remove from Favorite Scripts Add to Favorite Scripts
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 29/05/2014
// This indicator used to calculate the statistical volatility, sometime 
// called historical volatility, based on the Extreme Value Method.
// Please use this link to get more information about Volatility. 
////////////////////////////////////////////////////////////
study(title="Statistical Volatility - Extreme Value Method ", shorttitle="Statistical Volatility")
Length = input(30, minval=1)
xMaxC = highest(close, Length)
xMaxH = highest(high, Length)
xMinC = lowest(close, Length)
xMinL = lowest(low, Length)
SqrTime = sqrt(253 / Length)
Vol = ((0.6 * log(xMaxC / xMinC) * SqrTime) + (0.6 * log(xMaxH / xMinL) * SqrTime)) * 0.5
nRes = iff(Vol < 0,  0, iff(Vol > 2.99, 2.99, Vol))
plot(nRes, color=blue, title="Statistical Volatility")

Related Ideas

Ideas Scripts Chart
United States
United Kingdom
India
España
Italia
Brasil
Россия
Türkiye
日本
한국
Home Stock Screener Economic Calendar How It Works Chart Features House Rules Moderators For the WEB Widgets Stock Charting Library Priority Support Feature Request Blog & News FAQ Help & Wiki Twitter
Private Messages Chat Ideas Published Followers Following Priority Support Public Profile Profile Settings Billing Sign Out