Position sizing based on Yhang-Zhan variation of Garman-Klass volatility
Code:
//periodo=254
a=log(close/close[periodo])
//volatility with GARMAN-KLASS YANG-ZHANG
zz=call "mio - tsmom improved volat"[22]
vol=sgn(a)/zz
ret=log(close/close[1])
//l=60/61
l=0.983
cx=ret*ret
if barindex>2 then
s2=l*s2[1]+(1-l)*cx[1]
endif
sann=(periodo*s2)
return SGN(a)*1/sann as "Positions with EWMA",0, vol as "Positions with GARMAN-KLASS YANG-ZHANG"