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Historical Volatility Ratio

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  • Historical Volatility Ratio

    File Name: HVR.efs

    Description:
    Historical Volatility Ratio

    Formula Parameters:
    FastLength : 6
    SlowLength : 100


    Notes:
    The HVR is basically a mathematical ratio or percentage of a short
    to a long average historical volatility. When a market's short volatility
    declines below a certain percentage of its long volatility, it is a heads
    up signal that an explosive move may be imminent.
    The standard settings used are both the 10/100 and 6/100 HVR with a 50% ratio.
    The 50% ratio will be the trigger point. If either the 10/100 OR the 6/100
    declines below 50% in any market, that market should be watched for potential
    trades, as a sharp move could be seen.
    Both the 10/100 and the 6/100 HVR indicators are included in this package.


    Download File:
    HVR.efs



    EFS Code:
    PHP 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:        
        Historical Volatility Ratio 
        
    Version:            1.0  09/30/2009
     
    Formula Parameters:                     Default:
        FastLength                          6
        SlowLength                          100

    Notes:
        The HVR is basically a mathematical ratio or percentage of a short 
        to a long average historical volatility. When a market's short volatility 
        declines below a certain percentage of its long volatility, it is a heads 
        up signal that an explosive move may be imminent.
        The standard settings used are both the 10/100 and 6/100 HVR with a 50% ratio. 
        The 50% ratio will be the trigger point. If either the 10/100 OR the 6/100 
        declines below 50% in any market, that market should be watched for potential 
        trades, as a sharp move could be seen.
        Both the 10/100 and the 6/100 HVR indicators are included in this package.
        
    **********************************/
    var fpArray = new Array();
    var 
    bInit false;

    function 
    preMain(){
        
    setPriceStudy(false);
        
    setShowCursorLabel(true);
        
    setShowTitleParameters(false);
        
    setStudyTitle("HVR");
        
    setCursorLabelName("HVR"0);
        
    setPlotType(PLOTTYPE_LINE0);
        
    setDefaultBarFgColor(Color.red0);
        
    setDefaultBarThickness(2,0);
        var 
    0;
        
    fpArray[x] = new FunctionParameter("FastLength"FunctionParameter.NUMBER);
        
    with(fpArray[x++]) {
            
    setLowerLimit(1);
            
    setDefault(6);
        }    
        
    fpArray[x] = new FunctionParameter("SlowLength"FunctionParameter.NUMBER);
        
    with(fpArray[x++]) {
            
    setLowerLimit(1);
            
    setDefault(100);
        }    
    }

    var 
    xCloseLog null;
    var 
    xCLMA6 null;
    var 
    xCLMA100 null;

    function 
    main(FastLengthSlowLength) {
    var 
    nBarState getBarState();
    var 
    nRes 0;
    var 
    hv6 0;
    var 
    hv100 0;    
    var 
    0;
        if (
    nBarState == BARSTATE_ALLBARS) {
            if(
    FastLength == nullFastLength 6;
            if(
    SlowLength == nullSlowLength 100;
        }
        if (
    bInit == false) {
            
    xCloseLog efsInternal("Calc_CloseLog");
            
    xCLMA6 sma(FastLengthxCloseLog);
            
    xCLMA100 sma(SlowLengthxCloseLog);
            
    bInit true;
        }
        if (
    xCloseLog.getValue(-SlowLength) == null) return;
        for(
    =0FastLengthi++) {
            
    hv6 hv6 Math.pow(xCloseLog.getValue(-i) - xCLMA6.getValue(0), 2);
        }
        
    hv6 Math.sqrt(hv6 FastLength) * 7.2111;
        for(
    i=0SlowLengthi++) {
            
    hv100=hv100 Math.pow(xCloseLog.getValue(-i) - xCLMA100.getValue(0), 2);
        }
        
    hv100 Math.sqrt(hv100 SlowLength) * 7.2111;
        
    nRes hv6/hv100;
        return 
    nRes;
    }

    function 
    Calc_CloseLog() {
    var 
    nRes 0;
        
    nRes =  Math.log(close(0) / close(-1));
        return 
    nRes;

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