Has anyone created an indicator that calculates Upside/Downside Deviation?
i.e. Stdev of days(bars) when the market is up?
i.e. Stdev of days(bars) when the market is down?
It seems to me I recall a function that could be used with StDev what would only use bars given a certain criteria. Can someone help point this out or give suggestions?
Hi,
how can i use this formula to calculate the downside volatility on closing price series? I want calculate the volatility when closing price is under its sma at 40 days.
Thanks.
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