/*********************************Provided By : eSignal. (c) Copyright 2003*********************************/function preMain() { setStudyTitle("Historical Volatility"); setCursorLabelName("HV ", 0); setCursorLabelName(" ", 1); setDefaultBarFgColor(Color.blue, 0); setDefaultBarFgColor(Color.black, 1);}function STDV(length) { var sumX = 0; var sumX2 = 0; for (i = 0; i < length; ++i) { sumX += aLog[i]; sumX2 += (aLog[i] * aLog[i]) } var meanX = (sumX/length); var stdev = Math.sqrt((sumX2/length) - (meanX*meanX)); return stdev;}var aLog = null;function main(nLength1, nLength2) { if (nLength1 == null || nLength1 < 3) nLength1 = 6; if (nLength2 == null) nLength2 = 100; var c = close(); if (c == null) return; if (aLog == null && close(-nLength2-1) != null) { aLog = new Array(nLength2); for (i = 0; i < nLength2; ++i) { aLog[i] = Math.log(close(-i)/close(-i-1)); } } if (aLog[nLength2-1] == null) return; if (getBarState() == BARSTATE_NEWBAR) { aLog.pop() aLog.unshift(Math.log(c/close(-1))); } else { aLog[0] = Math.log(c/close(-1)); } var stdv1 = STDV(nLength1); var stdv2 = STDV(nLength2); var HV = (stdv1 * Math.sqrt(256) * 100) / (stdv2 * Math.sqrt(256) * 100); if (HV < .5) { //setPriceBarColor(Color.cyan); setBarBgColor(Color.red); } else { setBarBgColor(Color.white); } return new Array(HV, .5);} |
