Any ideas on why this formula returns nothing for the variable "Mean
Return"?
_SECTION_BEGIN("Close-Close Volatility");
Filter = BarIndex() > 252;
nPeriods = Param("Volatility Period", 5, 5, 252, 5);
LogReturn = ln (Close / Ref(Close, -1));
MeanReturn = Sum (LogReturn, nPeriods) / (nPeriods -1);
ReturnVariance = Sum ((LogReturn - MeanReturn) ^ 2, nPeriods);
Volatility = sqrt ((252 / ( nPeriods - 2)) * ReturnVariance);
Plot(Volatility , "Volatility Periods (" + nPeriods + ")",
colorOrange, styleLine|styleOwnScale);
AddColumn(Close,"Close",1.4);
AddColumn(Ref(C,-1),"c-1",1.4);
AddColumn(LogReturn ,"LogReturn",1.9);
AddColumn(MeanReturn ,"MeanReturn",1.9);
AddColumn(ReturnVariance ,"ReturnVariance ",1.9);
AddColumn(Volatility ,"Volatility ",1.9);
_SECTION_END();
Many thanks for your help.
Drew Yallop
