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HV - Historical Volatility

by Mark Peterson, 1890 days ago
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This has been suggested and provided on the Quantshare forum but not uploaded as an indicator/ function (that I can find) Credit: Allan Nathan.

Default is for month (21) and annualized value.

Historical Volatility reflects the past price movements of the underlying. Historical volatility is also referred to as the asset's actual or realized (observed) volatility.

When comparing the results to those calculated by Excel and also TOS the values are similar - but none of them are exactly the same. This is likely due to differences in the STD and LOG math library functions.

Example use:

a = HV(21, "Year");
Plot(a, "HV", colorBlack, chartLine, StyleSymbolNone);


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Type: Trading Indicator

Object ID: 1511


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