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HI Pete,
Regarding HV ratio I am using the first one, with the
same periods, 6 and 100, making 5 and 99 will give you
a different value, but as long as you understand what
num is low or high volatility, it should not be a
problem. I also have the HV*10, so you have number
bigger than 1 and that is fine with me.
In the exploration the NR4 I would make sure that I
have the lowest NR in the last 4 days, for example:
colB
A:=H-L;
NR4:=A<Ref(A,-1) AND A<Ref(A,-2) AND A<Ref(A,-3);
NR4
This condition will give you the lowest NR in the last
4 days.
colC Inside
High<Ref(High,-1) AND Low>Ref(Low,-1) AND C>L
This condition will give you a higher C than yesterday
too.
I hope this help.
Carlos.
=
--- healthwealthau <wealth@xxxxxxxxxxxxx> wrote:
> Please help
>
> I found this formula for historical volume indicator
> below and
> changed it to do a 6 and 100 comparison. Then I
> noticed the result
> was different to the historical volatility explorer
> also shown below.
> Which volatility ratio is correct, indicator or
> explorer?
>
> Historical Volatility Indicator.
> Historical volatility for 10 and 100 days.
> Std(Log(C/Ref(C,-1)),10)/Std(Log(C/Ref(C,-1)),100)
> changed for 6 and 100 days to
> Std(Log(C/Ref(C,-1)),6)/Std(Log(C/Ref(C,-1)),100)
>
> Historical Volatility Explorer (Connor and Raschke).
>
> Column A shows the ratio between the six-day and
> 100-day volatility.
>
> Col A: Vol ratio Std(Log(C/Ref(C,-1)),5) /
> Std(Log(C/Ref(C,-1)),99)
> Col B: NR4 day High - Low < Ref(LLV(H-L,3),-1)
> Col C: Inside High < Ref(High,-1) AND Low >
> Ref(Low,-1)
> Col D: High High
> Col E: Low Low
> Filter ColA < 0.5 AND (ColB = 1 OR ColC = 1)
>
> Thanks Pete
>
> ps: found them here
>
http://www.paritech.com/education/technical/custom/indicators/historic
> al1.asp
>
http://www.paritech.com/education/technical/custom/explorations/histor
> ical.asp
>
>
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