Historical IV Calculation

• 09/06/2018 at 7:42 AM #79856
  deletedaccount14122020

  Hello,

  I am trying to write an Indicator which will give a Historical IV Rank to a particular stock. The calculation is:

  100 x (the current Historical IV level – the 52 week Historical IV low) / (the 52 week Historical IV high – 52 week Historical IV low) = IV Rank

  I have tried the attached but I think that the terms “highest” and “lowest” only work with price. Does anyone know if my calculation can be performed by PRT

  Many thanks

  IV Rank

  indicator1 = HistoricVolatility indicator2 = highest [365] HistoricVolatility indicator3 = lowest[365]HistoricVolatility c3 = indicator1 - indicator3 c4 = indicator2 - indicator3 c5 = c3 / c4 c6 = c5 * 100 Return c6 AS "IV Rank" //HOW IS IV RANK CALCULATED? //The formula for IV rank is simple, really. It is: //100 x (the current IV level - the 52 week IV low) / (the 52 week IV high - 52 week IV low) = IV Rank

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  indicator1 = HistoricVolatility indicator2 = highest [365] HistoricVolatility indicator3 = lowest[365]HistoricVolatility   c3 = indicator1 - indicator3 c4 = indicator2 - indicator3 c5 = c3 / c4 c6 = c5 * 100   Return c6 AS "IV Rank"   //HOW IS IV RANK CALCULATED? //The formula for IV rank is simple, really. It is: //100 x (the current IV level - the 52 week IV low) / (the 52 week IV high - 52 week IV low) = IV Rank

   

  

  deletedaccount14122020

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  09/06/2018 at 7:49 AM #79858
  Nicolas

  This is just the stochastic of the historical volatility or a normalization of its value over the last 365 periods.

  Highest and lowest instructions are working perfectly for any data serie, even if it is not price! 🙂

  indi= HistoricVolatility hh = highest [365](indi) ll = lowest[365](indi) result = 100*((indi-ll)/(hh-ll)) return result

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  indi= HistoricVolatility hh = highest [365](indi) ll = lowest[365](indi)   result = 100*((indi-ll)/(hh-ll))   return result

   

  

  Nicolas

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  09/06/2018 at 7:56 AM #79861
  JC_Bywan

  Topic moved from proscreener forum (dedicated to screeners) to probuider forum (dedicated to indicators)

  1 user thanked author for this post.

  Nicolas

  

  JC_Bywan

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  09/06/2018 at 8:00 AM #79864
  deletedaccount14122020

  Nicolas,

  Many thanks for your quick reply. All working now

  Noobywan Sorry about that

  

  deletedaccount14122020

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