Volatility

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Volatility.efs  EFSLibrary - Discussion Board
  

File Name: Volatility.efs


Description:
Volatility


Formula Parameters:
nLength : 10

Notes:
The Volatility function measures the market volatility by plotting a
smoothed average of the True Range. It returns an average of the TrueRange
over a specific number of bars, giving higher weight to the TrueRange of
the most recent bar.

Download File:
Volatility.efs




EFS Code:





/*********************************Provided By:      eSignal (Copyright c eSignal), a division of Interactive Data     Corporation. 2009. All rights reserved. This sample eSignal     Formula Script (EFS) is for educational purposes only and may be     modified and saved under a new file name.  eSignal is not responsible    for the functionality once modified.  eSignal reserves the right     to modify and overwrite this EFS file with each new release.Description:            Volatility     Version:            1.0  05/22/2009     Formula Parameters:                     Default:    nLength                             10    Notes:    The Volatility function measures the market volatility by plotting a     smoothed average of the True Range. It returns an average of the TrueRange     over a specific number of bars, giving higher weight to the TrueRange of     the most recent bar.**********************************/var fpArray = new Array();var bInit = false;function preMain() {    setStudyTitle("Volatility");    setCursorLabelName("Volatility");    var x = 0;    fpArray[x] = new FunctionParameter("nLength", FunctionParameter.NUMBER);    with(fpArray[x++]) {        setLowerLimit(1);        setDefault(10);    }    }var xVolatility = null;function main(nLength){var nBarState = getBarState();var nVolatility = 0;    if (nBarState == BARSTATE_ALLBARS) {        if (nLength == null) nLength = 10;    }        if (bInit == false) {        xVolatility = efsInternal("Calc_Volatility", nLength);        bInit = true;    }    nVolatility = xVolatility.getValue(0);    if (nVolatility == null) return;    return nVolatility;}var bSecondInit = false;var xATR = null;function Calc_Volatility(nLength) {var nRes = 0;var nATR = 0;var nRef = ref(-1);    if (bSecondInit == false) {        xATR = atr(nLength);        bSecondInit = true;    }    nATR = xATR.getValue(0);    if (nATR == null) return;    if (nRef == null) {        nRes = nATR;    } else {            nRes = ((nLength - 1) * nRef + nATR) / nLength;    }        return nATR;}