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Volatility Estimator for Amibroker (AFL)
Rating:
4 / 5 (Votes 7)
Tags:
oscillator, amibroker, function
This AFL calculates various volatility estimators (including Yang-Zhang volatility estimator). For detailed algorithm, see this site: http://atmif.com/papers/range.pdf
Indicator / Formula
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/////////// the preferred volatility estimator is Yang-Zhang volatility estimator
// all the estimators compute sigma^2
// the preferred volatility estimator
// for more info, see paper "Drift-independent Volatility Estimation Based on High, Low, Open and Close Prices"
function Yang_Zhang_vol( n, _open, _high, _low, _close )
{
_N_o = log( _open ) - log( Ref( _close, -1 ) ); // normalized open
_N_u = log( _high ) - log( _open ); // normalized high
_N_d = log( _low ) - log( _open ); // normalized low
_N_c = log( _close ) - log( _open ); // normalized close
V_rs = 1 / n * Sum( _N_u * ( _N_u - _N_c ) + _N_d * ( _N_d - _N_c ), n ); // RS volatility estimator
_N_o_avg = 1 / n * Sum( _N_o, n );
V_o = 1 / ( n - 1 ) * Sum( ( _N_o - _N_o_avg ) ^ 2, n );
_N_c_avg = 1 / n * Sum( _N_c, n );
V_c = 1 / ( n - 1 ) * Sum( ( _N_c - _N_c_avg ) ^ 2, n );
k = 0.34 / ( 1.34 + ( n + 1 ) / ( n - 1 ) );
V_yang_zhang = V_o + k * V_c + ( 1 - k ) * V_rs;
return V_yang_zhang ;
}
// the Parkinson volatility estimator
function Parkinson_vol( n, _open, _high, _low, _close )
{
//_N_o = log( _open ) - log( Ref( _close, -1 ) ); // normalized open
_N_u = log( _high ) - log( _open ); // normalized high
_N_d = log( _low ) - log( _open ); // normalized low
//_N_c = log( _close ) - log( _open ); // normalized close
V_p = 1 / ( n * 4 * log( 2 ) ) * Sum( ( _N_u - _N_d ) ^ 2, n );
return V_p;
}
// volatility recommended by Rogers AND Satchell (1991) AND Rogers, Satchell, AND Yoon (1994)
function RS_vol( n, _open, _high, _low, _close )
{
// _N_o = log( _open ) - log( Ref( _close, -1 ) ); // normalized open
_N_u = log( _high ) - log( _open ); // normalized high
_N_d = log( _low ) - log( _open ); // normalized low
_N_c = log( _close ) - log( _open ); // normalized close
V_rs = 1 / n * Sum( _N_u * ( _N_u - _N_c ) + _N_d * ( _N_d - _N_c ), n );
return V_rs;
}
// the traditional close-to-close volatility
function C_2_C( n, _close )
{
_ret = log( _close ) - log( Ref( _close, -1 ) );
_avg = 1 / n * Sum( _ret, n );
_vol = 1 / ( n - 1 ) * Sum( ( _ret - _avg ) ^ 2, n );
return _vol;
}7 comments
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not working
not working
not working
sir how i can configure this with my ami
Wow. Thank you for those functions
Thanks for a great indicator. It’s working. Add plot to draw this indicator. For ex :
Yang_Zhang_vol( n, _open, _high, _low, _close ) -- > Plot(Yang_zhang_vol (C, O, H, L, C), "Yang Zhang", colorBlack, styleOwnScale);n is a free paramater. You can use closing price, or other prices you like. I’m still trying to find out how to use this indicator.
sir very lovely website