Daily Returns on lower tf

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06/07/2023 at 10:44 AM #215755 quote
ashehzi
Participant

Average
Hi,

I am using 1h timeframe for the chart but using daily timeframe to calculate daily returns e.g.

On 1h chart
```
timeframe(daily, updateonClose)
DailyVolatility = STD[252](close)
timeframe(default)
```
but the results are not consistent.

My objective is the following:

I want to calculate daily volatility of an instrument based on last 252 days but running in lower timeframe as I need candle closures at specific times of the day which I cannot do on daily TF. Anyway even If i run above code on daily timeframe, the result seems to be wrong.

From excel, I’ve the following:
1. Get daily closes for last 252 days/candles ==> DailyClosesArray
2. Get daily returns e.g. Close(i+1)/Close(i) – 1 ==> DailyReturnsArray
3. DailyVolatility = stddev (DailyReturnsArray)
Initially I thought If I just do above mentioned PRT code, I can achieve same but it seems to be not working. Do you’ve any suggestion/solution in mind please?

Thanks and really appreciated.

Ash

Capture.png
06/07/2023 at 2:07 PM #215759 quote
JS
Participant

Senior
Hi,

DailyVolatility = Std[252](Close) is the standard deviation over the last 252 days (TF Daily) so you calculate the standard deviation over a time period of a (trade) year.

The daily returns can be calculated with the daily time frame:

DailyReturn = (Close – Close[1]) is the difference in “Close” between today and yesterday (in points)

DailyReturn% = (Close-Close[1])/Close[1]*100 (DailyReturn in %)

The standard deviation of the “DailyReturn” over the last 252 trading days:

DailyReturnVolatility = Std[252](DailyReturn%)
```
TimeFrame(Daily, UpdateOnClose)
DailyReturn = (Close-Close[1])/Close[1]*100 //DailyReturn in %
DailyReturnVolatility = Std[252](DailyReturn) //Standaard deviation of the DailyReturn based on 252 trading days

Return DailyReturn as "DailyReturn", DailyReturnVolatility as "DailyReturnVolatility"
```
ashehzi thanked this post
06/07/2023 at 11:24 PM #215789 quote
ashehzi
Participant

Average
Thanks. But the problem is how can I get accurate values on 1h timeframe. It never computes properly. The chart attached is 1h while the bottom shows the DailyReturnVolt indicator using below code:
```
TimeFrame(Daily, UpdateOnClose)
DailyReturn = (Close-Close[1])/Close[1]*100 //DailyReturn in %
DailyReturnVolatility = Std[252](DailyReturn) //Standaard deviation of the DailyReturn based on 252 trading days
 
Return DailyReturn as "DailyReturn", DailyReturnVolatility as "DailyReturnVolatility"
```
Now If I change chart interval to daily, it returns the values which is understandable but this isn’t what I want, I want same result on lower tf.
NASDAQ-1-hour-2023_06_07-18h19.png NASDAQ-Daily-2023_06_07-18h21.png
06/08/2023 at 12:02 AM #215793 quote

robertogozzi
Moderator

Master

Since one day is 24 hours, 252 trading days require at least 252*24 (i.e. over 6K) 1-hour units on the chart. If you have chosen less than those required, result may not be as inaccurate.

06/08/2023 at 9:54 AM #215829 quote

ashehzi
Participant

Average

Please ignore the attachments as they got posted. I know that I need to have these many not only on the chart but I also use “defparam CALCULATEONLASTBARS=8000” but still I’m unable to get the results and that was the reason of my earlier post.
NASDAQ-1-hour-2023_06_07-18h19-1.png NASDAQ-Daily-2023_06_07-18h21-1.png

06/08/2023 at 10:02 AM #215832 quote
ashehzi
Participant

Average
see attachment where I’ve highlighted the 10K units and also the code below for the indicator
```
defparam drawonlastbaronly=true
defparam CALCULATEONLASTBARS=8000

TimeFrame(Daily, UpdateOnClose)
DailyReturn = (Close-Close[1])/Close[1]*100 //DailyReturn in %
DailyReturnVolatility = Std[252](DailyReturn) //Standaard deviation of the DailyReturn based on 252 trading days
TimeFrame(Default)

Return DailyReturn as "DailyReturn", DailyReturnVolatility as "DailyReturnVolatility"
```
NAS_1h_10kUnits.png
06/08/2023 at 10:25 AM #215836 quote
Nicolas
Keymaster

Master
While it works properly on DAX 1-hour timeframe, it is not on NASDAQ with “updateonclose” but do without it. Here is the code i’m using:
```
TimeFrame(Daily)
DailyReturn = (Close-Close[1])/Close[1]*100 //DailyReturn in %
DailyReturnVolatility = Std[252](DailyReturn) //Standaard deviation of the DailyReturn based on 252 trading days

Return DailyReturn as "DailyReturn", DailyReturnVolatility as "DailyReturnVolatility"
```
06/08/2023 at 11:27 AM #215840 quote
ashehzi
Participant

Average
I’m ok to use updateonClose as it is returning some values now e.g. My DailyReturnsVolt indicator is like below:
```
defparam CALCULATEONLASTBARS=10000

TimeFrame(Daily, UpdateOnClose)
YesterDailyReturn = (Close[1]-Close[2])/Close[2]*100 //DailyReturn in %
DailyReturnVolatility = Std[252](YesterDailyReturn) //Standaard deviation of the DailyReturn based on 252 trading days
TimeFrame(Default)

Return YesterDailyReturn as "DailyReturn", DailyReturnVolatility as "DailyReturnVolatility"
```
I tried above code in my automated trading test and it gives error on line 5 (which is the “TimeFrame(Daily, UpdateOnClose)”) line from the above indicator. Below is a simple test and it fails.
```
// Conditions to enter long positions
myDailyReturn, myDailyReturnVolatility = CALL "DailyReturnsVolt"[0, 2] 

if time = 220000 then
cashclose = close
endif

myLong1 = cashclose * (1 - myDailyReturnVolatility/4/100)

IF NOT LongOnMarket then // AND YourConditions THEN
BUY 1 CONTRACTS AT myLong1 limit
SET STOP LOSS 40
SET TARGET PROFIT 60
ENDIF
```
Above fails with parsing error on line 5 (basically timeframe(daily…)) from the indicator. See attached.
ParsingErrorAuto.png
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