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HisVol

Article/Author: “Historical Volatility and Pattern Recognition” Laurence A. Connors & Linda Bradford Raschke,
                              Stocks&Commodities Magazine, Traders Tips, 08/1996

Download: FUNCTION-HISVOL.ELA

File Includes: Function - HisVol

Category: Function > HisVol

Description:

Inputs:
LOOKBCK
ANNUAL

EasyLanguage Code:
INPUTS:   LOOKBCK(NUMERICSIMPLE), ANNUAL(NUMERICSIMPLE);

VARS: HVOL(0), PER(0);
IF DATACOMPRESSION<=2 THEN PER=1;
IF DATACOMPRESSION=3 THEN PER=7;

HVOL=STDDEV(LOG(CLOSE/CLOSE[1]),LOOKBCK)*SQUAREROOT(ANNUAL/PER);
HISVOL= HVOL*100;


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