Statistical Volatility - Extreme Value Method

[eSignal]

File Name: VolatilityExtVal.efs

Description:
Statistical Volatility - Extreme Value Method

Formula Parameters:
nLength : 30

Notes:
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.



Download File:
VolatilityExtVal.efs



EFS Code:

/*********************************
Provided By:  
    eSignal (Copyright c eSignal), a division of Interactive Data 
    Corporation. 2009. All rights reserved. This sample eSignal 
    Formula Script (EFS) is for educational purposes only and may be 
    modified and saved under a new file name.  eSignal is not responsible
    for the functionality once modified.  eSignal reserves the right 
    to modify and overwrite this EFS file with each new release.

Description:        
    Statistical Volatility - Extreme Value Method 
    
Version:            1.0  05/22/2009
     
Formula Parameters:                     Default:
    nLength                             30
    
Notes:
    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. 

**********************************/
var fpArray = new Array();
var bInit = false;

function preMain() {
    setStudyTitle("Statistical Volatility - Extreme Value Method"); 
    setCursorLabelName("Xtrme Vlty");
    var x = 0;
    fpArray[x] = new FunctionParameter("nLength", FunctionParameter.NUMBER);
    with(fpArray[x++]) {
        setLowerLimit(1);
        setDefault(30);
    }    
}

var xVolatilityExtVal = null;

function main(nLength) {
var nBarState = getBarState();
var nVolatilityExtVal = 0;
    if (nBarState == BARSTATE_ALLBARS) {
        if (nLength == null) nLength = 30;
    }    
    if (bInit ==  false) {
        xVolatilityExtVal = efsInternal("Calc_VolatilityExtVal", nLength);
        bInit = true;
    }
    nVolatilityExtVal = xVolatilityExtVal.getValue(0);
    if (nVolatilityExtVal == null) return;
    return nVolatilityExtVal;
}

var bSecondInit = false;
var xClose = null;
var xMaxC = null;
var xMinC = null;
var xMaxH = null;
var xMinL = null;

function Calc_VolatilityExtVal(nLength) {
var nRes = 0;
var i = 0;
var SqrTime = Math.sqrt(253 / nLength);
    if (bSecondInit == false) {
        xClose = close();
        xMaxC = upperDonchian(nLength, xClose);
        xMinC = lowerDonchian(nLength, xClose);
        xMaxH = upperDonchian(nLength);
        xMinL = lowerDonchian(nLength);
        bSecondInit = true;
    }
    if (xMaxC.getValue(0) == null) return;
    nRes = ((0.6 * Math.log(xMaxC.getValue(0) / xMinC.getValue(0)) * SqrTime) + 
           (0.6 * Math.log(xMaxH.getValue(0) / xMinL.getValue(0)) * SqrTime)) * 0.5;
    if (nRes < 0) nRes = 0.0;
    if (nRes > 2.99) nRes = 2.99;
    return nRes;
}