YANG-ZHANG extension of the GARMAN-KLASS volatility
May 18, 2017, 10:09 AM
Indicators
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The Yang Zhang extension of the Garman-Klass volatility is considered to be the second most precise method to evaluate ex-ante volatility. For all the people using Time Series Momentum (TSMOM) or Dual Momentum strategies, this volatility indicator is the main system to size positions.
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//YANG-ZHANG extention of the GARMAN-KLASS volatility
p=22
corr=sqrt(p/(p-1))
gkyzoc=log(open/close[1])*log(open/close[1])
gkyzhl=0.5*log(high/low)*log(high/low)
gkyzco=(2*log(2)-1)*log(close/open)*log(close/open)
gkyz=sqrt(summation[p](gkyzoc+gkyzhl-gkyzco))*sqrt(256/p)
gkyzvolatility=gkyz*corr
return gkyzvolatility as "Garman-Klass Yang-Zhang"
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gkyz-vol.itf
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