I think you have a bug in the code: you have "ln(APriceArr)" ...
It should be:
StDev(ln(APriceArr / Ref(APriceArr, -1)), APeriod)
/ sqrt(1 / ADaysInYear) * 100;
And: log is different from ln, eventhough in C/C++ log(x) means ln(x)...
I already wrote the following in my previous posting:
"
And the following relation is also true:
ln(y / x) == ln(y) - ln(x)
"
Thomas Ludwig Thomas.Ludwig@gmx.de [amibroker] wrote on 03/12/2016 03:00 PM:
> 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;
>> }
Posted by: "U.Mutlu" <um4711@mutluit.com>
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