door Paul M » za 17 jan 2004, 20:37
Hoi Jos,
Functie volatility:
Inputs: Length(NumericSimple);
If CurrentBar >= 1 AND Length <> 0 Then Begin
If CurrentBar = 1 Then
Volatility = TrueRange
Else
Volatility = ((Length - 1) * Volatility[1] + TrueRange) / Length;
End;
Functie VolatilityStddev:
Inputs: NumberDays(Numeric);
Variables: AssetPrice(0), Answer(0), Count(0), AvgDiff(0), SumDiff(0);
AvgDiff = Average((log(Close[0] / Close[1])), NumberDays);
SumDiff = Summation(((Log(Close[0] / Close[1])) - AvgDiff) * ((Log(Close[0] / Close[1])) - AvgDiff), NumberDays);
Answer = (SquareRoot(SumDiff / NumberDays)) * ?15.90957; {Annualize Calculation}
If Answer <= 0 Then
Answer = 0;
If Answer >= 2.99 Then
Answer = 2.99;
VolatilityStdDev = Answer;
Paul