Historical Volatility

[eSignal]

File Name: HistVolatility.efs

Description:
Historical Volatility

Formula Parameters:
LookBack : 20
Annual : 365


Notes:
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.


Download File:
HistVolatility.efs



EFS Code:

/*********************************
Provided By:  
    eSignal (Copyright c eSignal), a division of Interactive Data 
    Corporation. 2008. 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:        
    Hist Volatility
    
Version:            1.0  01/19/2009

Formula Parameters:                     Default:
    LookBack                            20
    Annual                              365

Notes:
    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.

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

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

function preMain() {
    setPriceStudy(false);
    setStudyTitle("Hist Volatility");
    setCursorLabelName("HisVol");
    
    var x=0;
    fpArray[x] = new FunctionParameter("LookBack", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setLowerLimit(1);        
        setDefault(20);
    }

    fpArray[x] = new FunctionParameter("Annual", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setLowerLimit(1);        
        setDefault(365);
    }
}

var xPrice1 = null;
var xPrice1Avg = null;
var xStdDev = null;

function main(LookBack, Annual) {
var nState = getBarState();
var nPer = 0;

    if(isIntraday() || isDaily()) nPer = 1;
    if (nPer == 0) nPer = 7;

    if (nState == BARSTATE_ALLBARS) {
        if (LookBack == null) LookBack = 20;
        if (Annual == null) Annual = 365;
    }    

    if ( bInit == false ) { 
        xPrice1 = efsInternal("Calc_Price1");
        xPrice1Avg = sma(LookBack, xPrice1);
        xStdDev = efsInternal("Calc_StdDev", LookBack, xPrice1Avg, xPrice1);
        bInit = true; 
    } 

    if (getCurrentBarCount() < LookBack + 1) return;
    
    var nAvg = xPrice1Avg.getValue(0);  
    var HVol = (xStdDev.getValue(0) * Math.sqrt(Annual / nPer)) * 100;
    return HVol; 
}

function Calc_Price1() {
var nRes = 0;
    if (close(-1) == null) return;
    nRes = Math.log(close(0) / close(-1));
    if (nRes == null) nRes = 1;
    return nRes;
}

function Calc_StdDev(LookBack, xPrice1Avg, xPrice1) {
var nRes = 0;
    if (xPrice1Avg.getValue(0) == null) return;
    for (var i = 0; i < LookBack; i++) {
        nRes += (xPrice1.getValue(-i) - xPrice1Avg.getValue(0)) * (xPrice1.getValue(-i) - xPrice1Avg.getValue(0));
    }
    nRes = Math.sqrt(nRes / LookBack);
    if (nRes == null) nRes = 1;
    return nRes;
}