Category

Indicator Functions

Description

Historical volatility

Syntax

HVOL(len, ppy {252})

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 252 if the current bar size is daily, 52 for weekly, or 12 for monthly

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

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