Conversion of indicator: Change of Volatility from MT4

Jiacky · 2020-07-24T21:00:45+00:00

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!

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07/24/2020 at 10:00 PM #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

07/24/2020 at 10:02 PM #140069 quote

Jiacky
Participant

Junior

Here is the screenshot.

ScreenShot_20200725084608.png

07/26/2020 at 8:56 AM #140118 quote

Nicolas
Keymaster

Legend

Added to my coded conversion list. Please be patient 🙂

08/05/2020 at 8:26 AM #140920 quote

Nicolas
Keymaster

Legend

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

08/05/2020 at 5:32 PM #140944 quote

Jiacky
Participant

Junior

Thank you Nicolas!
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Conversion of indicator: Change of Volatility from MT4

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Jiacky @jiacky Participant

Summary

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

Topic Details

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