HV
Historical Volatility
Description
Historical Volatility is a calculation of the
amount and speed of price changes, regardless of direction. It is the standard
deviation of price changes. The inputs determine the amount of prior data to use
to calculate standard deviation, and the number of bars to express the
volatility over (annualization period).
Category
Volatility Indicators
Parameters
N ( Default: 20
Min: 1 Max: 10000 )
T ( Default: 262
Min: 0 Max: 1000000000 )
Chart Script
CL:= LN(C/Ref(C,1));
HV: STDP(CL, N) * SQRT( N*T /
(N-1));