compressione di volatilita’ storica

Viewing 4 posts - 1 through 4 (of 4 total)
  • Author
    Posts
  • 02/24/2025 at 10:19 PM #244316 quote
    cris_cc
    Participant
    Junior

    ciao a tutti, sto provando a fare un screen per trovare i titoli in compressione di volatilita’ storica, vi allego il codice  con tutti gli errori di  sintassi che nn riesco a risolvere… ho provato da EL a PB ma è quasi arabo… grazie in anticipo

    // Definizione delle variabili
    volat100 = Std[100](close) * sqrt(262)
    volat6 = Std[6](close) * sqrt(262)
    volat10 = Std[10](close) * sqrt(262)

    rateo6 = volat6 / volat100
    rateo10 = volat10 / volat100

    // Condizione di filtro
    filtro = (rateo6 < 0.4) and (rateo10 < 0.4)

    // Visualizzazione del filtro
    return filtro

    02/24/2025 at 11:36 PM #244325 quote
    robertogozzi
    Moderator
    Master

    Non è in linguaggio ProRealTime, quindi serve una conversione.

    Chiedi una conversione gratuita a questo link https://www.prorealcode.com/free-code-conversion/.

    02/25/2025 at 9:50 AM #244328 quote
    JS
    Participant
    Senior

    Ecco l’indicatore e lo screener per la compressione della volatilità storica… 

    // Calculation of historical volatility
volat100 = Std[100](close) * sqrt(262)
volat10 = Std[10](close) * sqrt(262)
volat6 = Std[6](close) * sqrt(262)

// Ratio calculations
ratio6 = volat6 / volat100
ratio10 = volat10 / volat100

// Filter condition
Filter = (ratio6 < 0.4) AND (ratio10 < 0.4)

// Screen the filter condition
Screener[Filter](Ratio6 as "Ratio6",Ratio10 as "Ratio10")
    // Calculation of historical volatility
volat100 = Std[100](close) * sqrt(262)
volat6 = Std[6](close) * sqrt(262)
volat10 = Std[10](close) * sqrt(262)

// Ratio calculations
rateo6 = volat6 / volat100
rateo10 = volat10 / volat100

// Filter condition
Filter = (rateo6 < 0.4) AND (rateo10 < 0.4)

// Return the filter condition
Return Filter as "Filter" coloured("Yellow")
    Iván González and robertogozzi thanked this post
    02/25/2025 at 10:06 PM #244362 quote
    cris_cc
    Participant
    Junior

    grazie mille, funzione alla grande:)

    JS thanked this post
  • Author
    Posts
Viewing 4 posts - 1 through 4 (of 4 total)
  • You must be logged in to reply to this topic.

compressione di volatilita’ storica


Supporto ProScreener

New Reply
Author
author-avatar
cris_cc @cris_cc Participant
Summary

This topic contains 3 replies,
has 3 voices, and was last updated by cris_cc
11 months, 1 week ago.

Topic Details
Forum: Supporto ProScreener
Language: Italian
Started: 02/24/2025
Status: Active
Attachments: 3 files
Logo Logo
Loading...
Do you like cookies? 🍪 We use cookies to ensure you get the best experience on our website. (Learn more)
©2026 ProRealCode - Trading & Coding with ProRealTime™