Historical volatility is defined by Sheldon Natenberg, as the standard deviation of the logarithmic price changes measured at regular intervals of time. In Mr. Natenberg’s book, Option Volatility & Pricing.

l = log(Close/Close[1])

NV = STD[10](l)*SQRT(365/7)

RETURN NV as "Natenberg's Volatility"

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Filename: Natenbergs-Volatility.itf

Downloads: 91

Nicolas Master

I created ProRealCode because I believe in the power of shared knowledge. I spend my time coding new tools and helping members solve complex problems. If you are stuck on a code or need a fresh perspective on a strategy, I am always willing to help. Welcome to the community!

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