HistoricVolatilityReturn value of the realized historic volatility over N periods of selected price.
Syntax:
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HistoricVolatility[N](price) |
Calculation:
To calculate this indicator, we must choose the period (the last 20 days for example). Then we calculate the variation of every day during this period. Then we calculate the napierian logarithm and the variation on this data.By extrapolation, we obtain the historic volatilily in %.
Interpretation:
When volatility is important, a trend reversal could be taking place.
Example:
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i1 = HistoricVolatility[10](close) i2 = average[100](i1) i3 = average[10](close) if(i1>i2 AND Close<i3) THEN bearish = -1 bullish = 0 ELSIF (i1>i2 AND Close>i3) THEN bearish = 0 bullish = 1 ELSE bearish = 0 bullish = 0 ENDIF RETURN bearish,bullish |
