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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
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 | /////////// 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 estimatorfunction 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 volatilityfunction 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;} |
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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