compressione di volatilita’ storica

• 02/24/2025 at 10:19 PM #244316
  cris_cc

  ciao a tutti, sto provando a fare un screen per trovare i titoli in compressione di volatilita’ storica, vi allego il codice  con tutti gli errori di  sintassi che nn riesco a risolvere… ho provato da EL a PB ma è quasi arabo… grazie in anticipo

  // Definizione delle variabili
  volat100 = Std[100](close) * sqrt(262)
  volat6 = Std[6](close) * sqrt(262)
  volat10 = Std[10](close) * sqrt(262)

  rateo6 = volat6 / volat100
  rateo10 = volat10 / volat100

  // Condizione di filtro
  filtro = (rateo6 < 0.4) and (rateo10 < 0.4)

  // Visualizzazione del filtro
  return filtro

  

  cris_cc

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  02/24/2025 at 11:36 PM #244325
  robertogozzi

  Non è in linguaggio ProRealTime, quindi serve una conversione.

  Chiedi una conversione gratuita a questo link https://www.prorealcode.com/free-code-conversion/.

   

  

  robertogozzi

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  02/25/2025 at 9:50 AM #244328
  JS

  Ecco l’indicatore e lo screener per la compressione della volatilità storica…

  Screener

  // Calculation of historical volatility volat100 = Std[100](close) * sqrt(262) volat10 = Std[10](close) * sqrt(262) volat6 = Std[6](close) * sqrt(262) // Ratio calculations ratio6 = volat6 / volat100 ratio10 = volat10 / volat100 // Filter condition Filter = (ratio6 < 0.4) AND (ratio10 < 0.4) // Screen the filter condition Screener[Filter](Ratio6 as "Ratio6",Ratio10 as "Ratio10")

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  // Calculation of historical volatility volat100 = Std[100](close) * sqrt(262) volat10 = Std[10](close) * sqrt(262) volat6 = Std[6](close) * sqrt(262)   // Ratio calculations ratio6 = volat6 / volat100 ratio10 = volat10 / volat100   // Filter condition Filter = (ratio6 < 0.4) AND (ratio10 < 0.4)   // Screen the filter condition Screener[Filter](Ratio6 as "Ratio6",Ratio10 as "Ratio10")

  Indicator

  // Calculation of historical volatility volat100 = Std[100](close) * sqrt(262) volat6 = Std[6](close) * sqrt(262) volat10 = Std[10](close) * sqrt(262) // Ratio calculations rateo6 = volat6 / volat100 rateo10 = volat10 / volat100 // Filter condition Filter = (rateo6 < 0.4) AND (rateo10 < 0.4) // Return the filter condition Return Filter as "Filter" coloured("Yellow")

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  // Calculation of historical volatility volat100 = Std[100](close) * sqrt(262) volat6 = Std[6](close) * sqrt(262) volat10 = Std[10](close) * sqrt(262)   // Ratio calculations rateo6 = volat6 / volat100 rateo10 = volat10 / volat100   // Filter condition Filter = (rateo6 < 0.4) AND (rateo10 < 0.4)   // Return the filter condition Return Filter as "Filter" coloured("Yellow")

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  robertogozzi, Iván

  

  JS

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  02/25/2025 at 10:06 PM #244362
  cris_cc

  grazie mille, funzione alla grande:)

  1 user thanked author for this post.

  JS

  

  cris_cc

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