Download: HistVolatility.efs

Category: Indicator > Miscellaneous

Description:

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.

/*******************************************************************

Provided By	: Developed by TS Support, LLC for eSignal. (c) Copyright 2002 

********************************************************************/



function preMain()

{

    setPriceStudy(false);

    setStudyTitle("Hist Volatility");

    setCursorLabelName("HisVol");

}

function main(LookBack, Annual)

{

    if (LookBack == null) LookBack = 20;

    if (Annual == null) Annual = 365;

    var Interval = getInterval();

    var Per = 0;

    if (Interval == "1") Per = 1;

    if (Interval == "5") Per = 1;

    if (Interval == "10") Per = 1;

    if (Interval == "15") Per = 1;

    if (Interval == "D") Per = 1;

    if (Per == 0) Per = 7;

    var Close = getValue("Close", 0, -(LookBack + 1));

    var Price = Math.log(Close[0] / Close[1]);

    if (LookBack <= 0) return;

    var Avg = 0.0;

    var i = 0;

    for (i = 0; i < LookBack; i++)

    {

        Price = Math.log(Close[i] / Close[i + 1]);

        Avg += Price;

    }

    Avg /= LookBack;

    var SumSqr = 0.0;

    for (i = 0; i < LookBack; i++)

    {

        Price = Math.log(Close[i] / Close[i + 1]);

        SumSqr += (Price - Avg) * (Price - Avg);

    }

    var StdDev = Math.sqrt(SumSqr / LookBack);

    var HVol = (StdDev * Math.sqrt(Annual / Per)) * 100;

    return HVol; 

}