Posted by Mohammad Rahhal, Last modified by Diana Alkouni on 14 September 2020 12:26 PM


Public Function HistoricalVolatility(chart_ID As Integer, applyTo As ENUM_APPLIED_PRICE, period As Integer, BarHistory As Integer, StandardDev As Integer) As String


Historical volatility is the log-normal standard deviation. The Historical Volatility Index is based on the book by Don Fishback, "Odds: The Key to 90% Winners".

This formula will output a 30-day historical volatility index between 1 and 0: 
Stdev(Log(Close / Close Yesterday), 30) * Sqrt(365)

Note that some traders use 252 instead of 365 for the bar history that is used in the square root calculation.
The Log value is a natural log (ie Log10).


Key Description 
chart_ID Chart identifier, 0 is the current chart ,value of type Long
applyTo Applied price , value can be one of the  ENUM_APPLIED_PRICE.
period The calculation period, on which the indicator will be calculated, value of type Integer.
BarHistory History bar count , value of type Integer.
StandardDev Standard deviation value of type Integer.

Return value

Returns the handles of a technical indicator, in case of failure returns an empty string.


Public Sub main()

AlertMessage (HistoricalVolatility(0,price_close,30,365,2))

'Draws the indicator on chart and shows a message box with the indicator name.

End Sub

See Also

Back to VTL Client Script Index

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