Public FunctionHistoricalVolatility(applyTo As ENUM_APPLIED_PRICE, period As Integer, BarHistory As Integer, StandardDev As Integer) As String
Historical volatility is the log-normal standard deviation. The Historical Volatility Index is based on the book by Don Fishback, “Odds: The Key to 90% Winners”.
This formula will output a 30-day historical volatility index between 1 and 0:
Stdev(Log(Close / Close Yesterday), 30) * Sqrt(365)
Note that some traders use 252 instead of 365 for the bar history that is used in the square root calculation.
The Log value is a natural log (ie Log10).
|applyTo||Value can be one of ENUM_APPLIED_PRICE|
|period||Period as integer|
Returns the handles of a technical indicator, in case of failure returns an empty string.