Historic Volatility on tick stream

[gmiller]

In finance, volatility is a measure for variation of price of a financial instrument over time. Historic volatility is derived from time series of past market prices. It is common for discussions to talk about the volatility of a security's price, even while it is the returns' volatility that is being measured. It is used to quantify the risk of the financial instrument over the specified time period. Volatility is normally expressed in annualized terms and in %.


http://fxcodebase.com/wiki/index.php/HistoricVolatility_on_tick_stream

[gmiller]

The lua files attached for your convenience

HV.lua

Historic Volatility complete

(8.98 KiB) Downloaded 1028 times

HV_TICK.lua

Historic Volatility on a tick stream

(6.28 KiB) Downloaded 1019 times

HV on Chart.lua

(10.33 KiB) Downloaded 786 times

HV_TICK on Chart.lua

(7.93 KiB) Downloaded 773 times

The indicator was revised and updated

[Jeffreyvnlk]

Why people interested in tick ? If 2000 or 2 contracts traded, there is still 1 tick. More tick but not more volume or fewer tick but more volume. So you would be free if forget all about tick.IMHO

[Apprentice]

HV_TICK on Chart.lua & HV on Chart.lua Added.

[Apprentice]

Unfortunately I can not reproduce this crash.
Advice, try to do a complete uninstall and install.
If this continues after this please contact me again.

As for indicator formula, This is a simplified version.

Code: Select all

   
       LogReturn[period] = Log (close[period] / open[period]);

    sigma = 100 * (Stdev of LogReturn for Last Period Periods);
   
        if    Annualization then    
       sigma= sigma *  Sqrt( Number of days since the beginning of the year.);
      end

     HV[period] =  sigma;

[xyz1453]

Hi

Is there any mql4 version of this indicator?Thanks.

[Apprentice]

Your request is added to the development list.

[zmender]

I tried to call this indicator from a strategy but received "364: [string "C:\Gehtsoft\IndicoreSDK\indicators\HV.lua"]:178: attempt to index field 'close' (a nil value)" error. What do you think the problem is? It occurs during the update line

Declaration:

Code: Select all

    Source = ExtSubscribe(2, nil, instance.parameters.TF, instance.parameters.Type == "Bid", "bar");
   LP = core.indicators:create("HV", Source[Price1], LongPeriod);


Code: Select all

    LP:update(core.UpdateLast);


[Apprentice]

HV is using the whole bar.
In your example HV is only getting close component of Bar.

You should use this
LP = core.indicators: create ("HV", Source, longperiod);

[Apprentice]

Indicator was revised and updated.