Download Connors/Raschke historical volatility system For Amibroker (AFL)

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Connors and Raschke introduced a historical volatility system in Chapter 20 of their Street Smarts book.

A Metastock implementation is available at:
http://trader.online.pl/MSZ/e-ex-Historical_Volatility_System_Connors_Raschkes.html

Setup condition 1: 6-day historical volatility divided by 100-day volatility < 0.5

Setup condition 2: inside day or NR4 day

On the next day, place a buy stop one tick above the current day’s high; vice versa for sell stops.

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// See http://trader.online.pl/MSZ/e-ex-Historical_Volatility_System_Connors_Raschkes.html
//
// Note the version on the amibroker site has a mistake
//     Connors/Raschke say buy based on "either an inside day or an NR4 day"
//        but formula 115 uses AND instead of OR.
logRocc = log(C/Ref(C,-1));
HistVol = StDev(logRocc,5) / StDev(logRocc,99);
 
H_L = H-L;
NR4 = H_L == LLV(H_L,4);
 
 
Plot(HistVol, "HistVol", ParamColor("Color", colorCycle), styleLine);
 
Plot(0.5,"",colorBlack, styleDashed);
 
Plot(IIf(HistVol>0.5, 3, IIf(NR4,6, IIf(Inside(), 9, 3))),
    "NR4 or Inside", 
    IIf(HistVol>0.5, colorLightGrey, IIf(NR4,colorLime, IIf(Inside(), colorBlue, colorLightGrey))), 
    styleOwnScale|styleArea|styleNoLabel, -0.5, 50);
 
 
NumColumns = 5;
Column0 = HistVol;
Column0Name = "HistVol";
 
Column1 = NR4;
Column1Name = "NR4Day";
 
Column2 = Inside();
Column2Name = "Inside";
 
Column3 = High+0.125;
Column3Name = "Buy Stop";
 
Column4 = Low-0.125;
Column4Name = "Sell Stop";
 
Filter = HistVol < 0.5 AND (NR4 OR Inside());
Buy = Filter;

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Connors/Raschke historical volatility system for Amibroker (AFL)
jaonn
over 14 years ago
Amibroker (AFL)

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