RE: [amibroker] Historical Volatility

Mon, 24 Jul 2006 20:40:38 -0700

Yes the majority of the annual signal will run on 252 bars ( trading days)

 

Mark

 

 

 

From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf Of Jason Hart
Sent: Monday, July 24, 2006 10:31 PM
To: [email protected]
Subject: Re: [amibroker] Historical Volatility

 

Allan has it right - there are only 250-260 trading days in the year so the 250 days is about right

 



wavemechanic <[EMAIL PROTECTED]> wrote:

If you are looking for the annual historical volatility use all days or sqrt(365).

 

Bill

 

----- Original Message -----

From: "matrix10014" <[EMAIL PROTECTED]>

Sent: Monday, July 24, 2006 8:52 PM

Subject: [amibroker] Historical Volatility

 

>
> Hi,
>
> Is this the correct formula for 21 day historical volatility??
>
> HistVol = StDev(log(C/Ref(C,-1)),21)*100*sqrt(250);
>
>
> thanks
>
> Allan
>
>
>
>
>
>
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