Historical Volatility - Trading Software

Historical Volatility

dare2
2012-09-21 15:00:00

Does anyone know of a formula for HV, historical volatility aka implied volatility. I am interested in being able to screen stocks using a 50 period SMA of HV.

Thanks,
Darrell

clonex
2012-09-21 15:34:14

Try to use search:

http://www.quantshare.com/index.php?option=Tabs&tabIndex=5&type=Items&order=creation_date&keywords=historical%20volatility

Clonex

dare2
2012-09-21 16:32:38

Thanks Clonex.

allan nathan
2012-09-21 16:55:07

Best Answer

try this for functions

VectorD close = cFunctions.Close;
VectorD logchange = TA.Log(close/TA.Ref(close,1));
VectorD sdlogchange = TA.Stddev(logchange,50);
VectorD HisVol = sdlogchange*100*TA.Sqrt(252);
result = HisVol;

OR

//result = cFunctions.CompileFormula("logchange=log(close/Ref(close,1));
//sdlogchange=stddev(logchange,50);
//HisVol=sdlogchange*100*sqrt(252);").
//GetVectorDouble("HisVol");

for formula try this,but change daye=50

Days = Param("Days", 21, 21);
logchange=log(close/Ref(close,1));
sdlogchange=stddev(logchange,21);
HisVol=sdlogchange*100*sqrt(252);
Plot(HisVol,"HVol",colorBlue,ChartLine);

dare2
2012-09-21 17:20:10

Thanks allan.l.

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