Category

Indicator Functions

Description

Historical volatility

Syntax

HVOL(len, ppy {252/52/12})

Parameters

len - lookback period

ppy - number of periods per year (optional)

Notes

HVOL(len) could be calculated as StdDev(log(c/c[1]),len) * 100 * Sqr(ppy).

ppy defaults to S.BPY if the current bar size is Daily, 52 for Weekly, 12 for Monthly, 4 for Quarterly, 1 for Yearly.

This function supports one-pass calculation when used in the Data Section with a non-variable count.

Example

HV20: HVOL(20)
HV20w: HVOL(20, 52)

The second line specifies 52 periods per year for weekly bar data.

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