Conversion of indicator: Change of Volatility from MT4

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  • #140067 quote
    Jiacky
    Participant
    Junior

    It is my second request in a short period of time. I hope it won’t bother you guys.

    Here is the description that I can find:

    There are a lot of ways to measure volatility (changeability). One of them is calculation of the standard deviation of returns for a certain period of time. Sometimes the current volatility on a short period of time (for example, 6 days) is correlated with volatility of a larger period (for example 100 days). This indicator calculates the correlation of a short volatility Vol_short and a long volatilityVol_long. Vol_change=Vol_short/Vol_long

    Standard deviation here is not that from a difference of closing prices, but from logarithms of the correlation of the current day closing price and closing price of a previous day: Mom[i]=Close[i]/Close[i+1].

    Vol_k=Std(Mom,k),
    where k is the period of volatility change.

    Thank you!

    Change_of_Volatility.mq4
    #140069 quote
    Jiacky
    Participant
    Junior

    Here is the screenshot.

    ScreenShot_20200725084608.png ScreenShot_20200725084608.png
    #140118 quote
    Nicolas
    Keymaster
    Master

    Added to my coded conversion list. Please be patient 🙂

    #140920 quote
    Nicolas
    Keymaster
    Master

    Translation of the code has been made and the indicator is now available for everyone in our prorealtime code library here: Change of volatility

    #140944 quote
    Jiacky
    Participant
    Junior

    Thank you Nicolas!

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Conversion of indicator: Change of Volatility from MT4


ProBuilder: Indicators & Custom Tools

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Jiacky @jiacky Participant
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This topic contains 4 replies,
has 2 voices, and was last updated by Jiacky
5 years, 6 months ago.

Topic Details
Forum: ProBuilder: Indicators & Custom Tools
Language: English
Started: 07/24/2020
Status: Active
Attachments: 2 files
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