# Historical Volatility Ratio

ICE Data Services -

 HVR.efs EFSLibrary - Discussion Board

File Name: HVR.efs

Description:
Historical Volatility Ratio

Formula Parameters:
FastLength : 6
SlowLength : 100

Notes:
The HVR is basically a mathematical ratio or percentage of a short
to a long average historical volatility. When a market's short volatility
declines below a certain percentage of its long volatility, it is a heads
up signal that an explosive move may be imminent.
The standard settings used are both the 10/100 and 6/100 HVR with a 50% ratio.
The 50% ratio will be the trigger point. If either the 10/100 OR the 6/100
declines below 50% in any market, that market should be watched for potential
trades, as a sharp move could be seen.
Both the 10/100 and the 6/100 HVR indicators are included in this package. `/*********************************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: Historical Volatility Ratio Version: 1.0 09/30/2009 Formula Parameters: Default: FastLength 6 SlowLength 100Notes: The HVR is basically a mathematical ratio or percentage of a short to a long average historical volatility. When a market's short volatility declines below a certain percentage of its long volatility, it is a heads up signal that an explosive move may be imminent. The standard settings used are both the 10/100 and 6/100 HVR with a 50% ratio. The 50% ratio will be the trigger point. If either the 10/100 OR the 6/100 declines below 50% in any market, that market should be watched for potential trades, as a sharp move could be seen. Both the 10/100 and the 6/100 HVR indicators are included in this package. **********************************/var fpArray = new Array();var bInit = false;function preMain(){ setPriceStudy(false); setShowCursorLabel(true); setShowTitleParameters(false); setStudyTitle("HVR"); setCursorLabelName("HVR", 0); setPlotType(PLOTTYPE_LINE, 0); setDefaultBarFgColor(Color.red, 0); setDefaultBarThickness(2,0); var x = 0; fpArray[x] = new FunctionParameter("FastLength", FunctionParameter.NUMBER); with(fpArray[x++]) { setLowerLimit(1); setDefault(6); } fpArray[x] = new FunctionParameter("SlowLength", FunctionParameter.NUMBER); with(fpArray[x++]) { setLowerLimit(1); setDefault(100); } }var xCloseLog = null;var xCLMA6 = null;var xCLMA100 = null;function main(FastLength, SlowLength) {var nBarState = getBarState();var nRes = 0;var hv6 = 0;var hv100 = 0; var i = 0; if (nBarState == BARSTATE_ALLBARS) { if(FastLength == null) FastLength = 6; if(SlowLength == null) SlowLength = 100; } if (bInit == false) { xCloseLog = efsInternal("Calc_CloseLog"); xCLMA6 = sma(FastLength, xCloseLog); xCLMA100 = sma(SlowLength, xCloseLog); bInit = true; } if (xCloseLog.getValue(-SlowLength) == null) return; for(i =0; i < FastLength; i++) { hv6 = hv6 + Math.pow(xCloseLog.getValue(-i) - xCLMA6.getValue(0), 2); } hv6 = Math.sqrt(hv6 / FastLength) * 7.2111; for(i=0; i < SlowLength; i++) { hv100=hv100 + Math.pow(xCloseLog.getValue(-i) - xCLMA100.getValue(0), 2); } hv100 = Math.sqrt(hv100 / SlowLength) * 7.2111; nRes = hv6/hv100; return nRes;}function Calc_CloseLog() {var nRes = 0; nRes = Math.log(close(0) / close(-1)); return nRes;}`