Historical Volatility (Any Time Period)

[scriabinop23]

This is a historical vol indicator of any time period (minute, day, month, week). It will for example calculate the historic volatility for the last 9 1 minute bars if used in a 1 minute chart with HistVolAny(9). Whatever you like. Not usable in tick/range/volume charts due to indeterminate length of time for the bar sample. (actual time length is needed to calculate annualized rates)

Usage is as simple as HistVolAny(numberofbars)[0].

The other histvol indicator only lets you find x day (session) moving historical volatility while in a minute or smaller timeframe.

You may of course combine the use of the two, but this one gives a more accurate (and volatile) measure of HV possibly in a very short time period. (Fascinating and useful to know the practically instantaneous HV when entering a trade) In some ways this result could be correlated to bollinger band sizes as a percentage of the instrument.

[ninjablanks]

indicator HV

I got an error message when I tried to import what am I doing wrong?

[scriabinop23]

I got an error message when I tried to import what am I doing wrong?

I programmed these using NT 6.508. Is it possible you are using 6.0?
I checked it on NT 6.0, and you need to comment out the range bars line (line 61) like this to import it successfully (it does work):

// ||(Bars.Period.Id == PeriodType.Range)

[sharkie]

This is a historical vol indicator of any time period (minute, day, month, week). It will for example calculate the historic volatility for the last 9 1 minute bars if used in a 1 minute chart with HistVolAny(9). Whatever you like. Not usable in tick/range/volume charts due to indeterminate length of time for the bar sample. (actual time length is needed to calculate annualized rates)

Usage is as simple as HistVolAny(numberofbars)[0].

The other histvol indicator only lets you find x day (session) moving historical volatility while in a minute or smaller timeframe.

You may of course combine the use of the two, but this one gives a more accurate (and volatile) measure of HV possibly in a very short time period. (Fascinating and useful to know the practically instantaneous HV when entering a trade) In some ways this result could be correlated to bollinger band sizes as a percentage of the instrument.

Hi .

I tried using you HistVolAny indicator. It returns the value 0 all the time. This is how I use it :
EMA_offset=HistVolAny(EMA_period)[0];