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Miscellaneous > Historical Volatility

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

Download: Hist_Vol.ela

File Includes:

Indicator - Hist Volatility
Function - HisVol

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.

Usage:

A high-volatility reading indicates that the security is very volatile, while a low-volatility reading signals the lack of volatility.




Inputs:

Lookbck - lookback period
Annual - number of days in year

EasyLanguage Code:
INPUTS: LOOKBCK(20), ANNUAL(365);


VALUE1 = HISVOL(LOOKBCK, ANNUAL);

PLOT1(VALUE1, "HISVOL");


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