Historical Volatility Ratio

[eSignal]

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:

/*********************************
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_LINE, 0);
    setDefaultBarFgColor(Color.red, 0);
    setDefaultBarThickness(2,0);
    var x = 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(FastLength, SlowLength) {
var nBarState = getBarState();
var nRes = 0;
var hv6 = 0;
var hv100 = 0;    
var i = 0;
    if (nBarState == BARSTATE_ALLBARS) {
        if(FastLength == null) FastLength = 6;
        if(SlowLength == null) SlowLength = 100;
    }
    if (bInit == false) {
        xCloseLog = efsInternal("Calc_CloseLog");
        xCLMA6 = sma(FastLength, xCloseLog);
        xCLMA100 = sma(SlowLength, xCloseLog);
        bInit = true;
    }
    if (xCloseLog.getValue(-SlowLength) == null) return;
    for(i =0; i < FastLength; i++) {
        hv6 = hv6 + Math.pow(xCloseLog.getValue(-i) - xCLMA6.getValue(0), 2);
    }
    hv6 = Math.sqrt(hv6 / FastLength) * 7.2111;
    for(i=0; i < SlowLength; i++) {
        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;
}