What day and time are you using to get SPY = 19.69%. Also what is number of look back periods and what number are you using for number of yearly bars. I need this info so I can try to duplicate your calculations. -Alan
On 3/10/2016 8:51 AM, 'U.Mutlu' um4711@mutluit.com [amibroker] wrote:
On 3/10/2016 8:51 AM, 'U.Mutlu' um4711@mutluit.com [amibroker] wrote:
oliver.ward@rocketmail.com [amibroker] wrote on 03/10/2016 02:36 PM:
> Would this work instead?
>
> x = StDev(ROC(C,2),period)/sqrt(1/252)*100;
Hmm, no, that gives unfortunately not the historical volatility.
For example for SPY: 19.69% vs. the result of the above which gives 2686.62%.
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Posted by: Alan <alan@thenorthams.us>
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