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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
FYI: found them here
www.paritech.com/education/technical/custom/indicators/historical1.asp
www.paritech.com/education/technical/custom/explorations/historical.as
p
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