Historical Volatility Ratio

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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.

Download File:
HVR.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:            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;}