Volatility

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;
}