You can also write the formula as
return StDev(ln(APriceArr) / Ref(APriceArr, -1)), APeriod)/ sqrt(1 /
ADaysInYear) * 100;
It's equivalent as
log x - log y = log (x/y)
Greetings
Thomas
On 12.03.2016 14:57 'U.Mutlu' um4711@mutluit.com wrote:
> I think of all the presented functions here (btw many thx to all),
> the function in the original posting seems to be the most accurate one
> as sometimes the difference can be about a whoppy 1%...
> Here's an extended and optimized version of it:
>
> function my_vola(APriceArr, APeriod, ADaysInYear)
> { // DaysInYear should be 252 for stocks
> return StDev(ln(APriceArr) - ln(Ref(APriceArr, -1)), APeriod)
> / sqrt(1 / ADaysInYear) * 100;
> }
>
>
> rosenberggregg@yahoo.com [amibroker] wrote on 03/10/2016 05:16 PM:
>> Hi, it's not built in. Below is the function I use. It's a little more flexible than yours and will be quicker because it uses the built-in ROC function instead of looping. You can add in ln yourself to wrap the ROC.
>>
>> function Volatility_afl(watchListName, sourceArray, measurePeriod, reportPeriod) { //begin Volatility
>> //Calculates volatility over a measuring period and reports it back scaled to reporting period
>>
>> dailyChg = ROC(sourceArray, 1, true);
>> result = StDev(dailyChg, measurePeriod)*sqrt(reportPeriod);
>>
>>
>> return Nz(result);
>> } //end Volatility
>
>
>
> ------------------------------------
> Posted by: "U.Mutlu" <um4711@mutluit.com>
> ------------------------------------
>
> **** IMPORTANT PLEASE READ ****
> This group is for the discussion between users only.
> This is *NOT* technical support channel.
>
> TO GET TECHNICAL SUPPORT send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> http://www.amibroker.com/feedback/
> (submissions sent via other channels won't be considered)
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
>
> ------------------------------------
>
> Yahoo Groups Links
>
>
>
>
Posted by: Thomas Ludwig <Thomas.Ludwig@gmx.de>
| Reply via web post | • | Reply to sender | • | Reply to group | • | Start a New Topic | • | Messages in this topic (15) |
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
EmoticonEmoticon