Daily Returns on lower tf

• 06/07/2023 at 10:44 AM #215755
  ashehzi

  Hi,

  I am using 1h timeframe for the chart but using daily timeframe to calculate daily returns e.g.

  On 1h chart

  timeframe(daily, updateonClose) DailyVolatility = STD[252](close) timeframe(default)

  1 2 3

  timeframe(daily, updateonClose) DailyVolatility = STD[252](close) timeframe(default)

  but the results are not consistent.

  My objective is the following:

  I want to calculate daily volatility of an instrument based on last 252 days but running in lower timeframe as I need candle closures at specific times of the day which I cannot do on daily TF. Anyway even If i run above code on daily timeframe, the result seems to be wrong.

  From excel, I’ve the following:

  1. Get daily closes for last 252 days/candles ==> DailyClosesArray
  2. Get daily returns e.g. Close(i+1)/Close(i) – 1 ==> DailyReturnsArray
  3. DailyVolatility = stddev (DailyReturnsArray)

  Initially I thought If I just do above mentioned PRT code, I can achieve same but it seems to be not working. Do you’ve any suggestion/solution in mind please?

  Thanks and really appreciated.

  Ash

  

  ashehzi

  Participant

  Topics: 29

  Replies: 88

  Been thanked: 9 times
  06/07/2023 at 2:07 PM #215759
  JS

  Hi,

  DailyVolatility = Std[252](Close) is the standard deviation over the last 252 days (TF Daily) so you calculate the standard deviation over a time period of a (trade) year.

  The daily returns can be calculated with the daily time frame:

  DailyReturn = (Close – Close[1]) is the difference in “Close” between today and yesterday (in points)

  DailyReturn% = (Close-Close[1])/Close[1]*100  (DailyReturn in %)

  The standard deviation of the “DailyReturn” over the last 252 trading days:

  DailyReturnVolatility = Std[252](DailyReturn%)

  Daily calculations

  TimeFrame(Daily, UpdateOnClose) DailyReturn = (Close-Close[1])/Close[1]*100 //DailyReturn in % DailyReturnVolatility = Std[252](DailyReturn) //Standaard deviation of the DailyReturn based on 252 trading days Return DailyReturn as "DailyReturn", DailyReturnVolatility as "DailyReturnVolatility"

  1 2 3 4 5

  TimeFrame(Daily, UpdateOnClose) DailyReturn = (Close-Close[1])/Close[1]*100 //DailyReturn in % DailyReturnVolatility = Std[252](DailyReturn) //Standaard deviation of the DailyReturn based on 252 trading days   Return DailyReturn as "DailyReturn", DailyReturnVolatility as "DailyReturnVolatility"

  1 user thanked author for this post.

  ashehzi

  

  JS

  Participant

  Topics: 27

  Replies: 1806

  Been thanked: 876 times
  06/07/2023 at 11:24 PM #215789
  ashehzi

  Thanks. But the problem is how can I get accurate values on 1h timeframe. It never computes properly.

  The chart attached is 1h while the bottom shows the DailyReturnVolt indicator using below code:

  DailyReturnsVolt Indicator

  TimeFrame(Daily, UpdateOnClose) DailyReturn = (Close-Close[1])/Close[1]*100 //DailyReturn in % DailyReturnVolatility = Std[252](DailyReturn) //Standaard deviation of the DailyReturn based on 252 trading days Return DailyReturn as "DailyReturn", DailyReturnVolatility as "DailyReturnVolatility"

  1 2 3 4 5

  TimeFrame(Daily, UpdateOnClose) DailyReturn = (Close-Close[1])/Close[1]*100 //DailyReturn in % DailyReturnVolatility = Std[252](DailyReturn) //Standaard deviation of the DailyReturn based on 252 trading days Return DailyReturn as "DailyReturn", DailyReturnVolatility as "DailyReturnVolatility"

  Now If I change chart interval to daily, it returns the values which is understandable but this isn’t what I want, I want same result on lower tf.

   

  

  ashehzi

  Participant

  Topics: 29

  Replies: 88

  Been thanked: 9 times
  06/08/2023 at 12:02 AM #215793
  robertogozzi

  Since one day is 24 hours, 252 trading days require at least 252*24 (i.e. over 6K) 1-hour units on the chart. If you have chosen less than those required, result may not be as inaccurate.

   

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 17272

  Been thanked: 4119 times
  06/08/2023 at 9:54 AM #215829
  ashehzi

  Please ignore the attachments as they got posted.

  I know that I need to have these many not only on the chart but I also use “defparam CALCULATEONLASTBARS=8000” but still I’m unable to get the results and that was the reason of my earlier post.

  

  ashehzi

  Participant

  Topics: 29

  Replies: 88

  Been thanked: 9 times
  06/08/2023 at 10:02 AM #215832
  ashehzi

  see attachment where I’ve highlighted the 10K units and also the code below for the indicator

   

   

  defparam drawonlastbaronly=true defparam CALCULATEONLASTBARS=8000 TimeFrame(Daily, UpdateOnClose) DailyReturn = (Close-Close[1])/Close[1]*100 //DailyReturn in % DailyReturnVolatility = Std[252](DailyReturn) //Standaard deviation of the DailyReturn based on 252 trading days TimeFrame(Default) Return DailyReturn as "DailyReturn", DailyReturnVolatility as "DailyReturnVolatility"

  1 2 3 4 5 6 7 8 9

  defparam drawonlastbaronly=true defparam CALCULATEONLASTBARS=8000   TimeFrame(Daily, UpdateOnClose) DailyReturn = (Close-Close[1])/Close[1]*100 //DailyReturn in % DailyReturnVolatility = Std[252](DailyReturn) //Standaard deviation of the DailyReturn based on 252 trading days TimeFrame(Default)   Return DailyReturn as "DailyReturn", DailyReturnVolatility as "DailyReturnVolatility"

  

  ashehzi

  Participant

  Topics: 29

  Replies: 88

  Been thanked: 9 times
  06/08/2023 at 10:25 AM #215836
  Nicolas

  While it works properly on DAX 1-hour timeframe, it is not on NASDAQ with “updateonclose” but do without it.

  Here is the code i’m using:

  TimeFrame(Daily) DailyReturn = (Close-Close[1])/Close[1]*100 //DailyReturn in % DailyReturnVolatility = Std[252](DailyReturn) //Standaard deviation of the DailyReturn based on 252 trading days Return DailyReturn as "DailyReturn", DailyReturnVolatility as "DailyReturnVolatility"

  1 2 3 4 5

  TimeFrame(Daily) DailyReturn = (Close-Close[1])/Close[1]*100 //DailyReturn in % DailyReturnVolatility = Std[252](DailyReturn) //Standaard deviation of the DailyReturn based on 252 trading days   Return DailyReturn as "DailyReturn", DailyReturnVolatility as "DailyReturnVolatility"

   

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4775 times
  06/08/2023 at 11:27 AM #215840
  ashehzi

  I’m ok to use updateonClose as it is returning some values now e.g.

  My DailyReturnsVolt indicator is like below:

  defparam CALCULATEONLASTBARS=10000 TimeFrame(Daily, UpdateOnClose) YesterDailyReturn = (Close[1]-Close[2])/Close[2]*100 //DailyReturn in % DailyReturnVolatility = Std[252](YesterDailyReturn) //Standaard deviation of the DailyReturn based on 252 trading days TimeFrame(Default) Return YesterDailyReturn as "DailyReturn", DailyReturnVolatility as "DailyReturnVolatility"

  1 2 3 4 5 6 7 8

  defparam CALCULATEONLASTBARS=10000   TimeFrame(Daily, UpdateOnClose) YesterDailyReturn = (Close[1]-Close[2])/Close[2]*100 //DailyReturn in % DailyReturnVolatility = Std[252](YesterDailyReturn) //Standaard deviation of the DailyReturn based on 252 trading days TimeFrame(Default)   Return YesterDailyReturn as "DailyReturn", DailyReturnVolatility as "DailyReturnVolatility"

  I tried above code in my automated trading test and it gives error on line 5 (which is the “TimeFrame(Daily, UpdateOnClose)”) line from the above indicator. Below is a simple test and it fails.

  // Conditions to enter long positions myDailyReturn, myDailyReturnVolatility = CALL "DailyReturnsVolt"[0, 2] if time = 220000 then cashclose = close endif myLong1 = cashclose * (1 - myDailyReturnVolatility/4/100) IF NOT LongOnMarket then // AND YourConditions THEN BUY 1 CONTRACTS AT myLong1 limit SET STOP LOSS 40 SET TARGET PROFIT 60 ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14

  // Conditions to enter long positions myDailyReturn, myDailyReturnVolatility = CALL "DailyReturnsVolt"[0, 2]   if time = 220000 then cashclose = close endif   myLong1 = cashclose * (1 - myDailyReturnVolatility/4/100)   IF NOT LongOnMarket then // AND YourConditions THEN BUY 1 CONTRACTS AT myLong1 limit SET STOP LOSS 40 SET TARGET PROFIT 60 ENDIF

  Above fails with parsing error on line 5 (basically timeframe(daily…)) from the indicator. See attached.

  

  ashehzi

  Participant

  Topics: 29

  Replies: 88

  Been thanked: 9 times
• Author
  Posts