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What is the metastock formula for the Historical Volatility Ratio (HVR) for 10/100 & 6/100 with a 50% ratio. i.e. 10 days historical volatility should be less that 50% the 100 days historical volatility and 6 days historical volatility should be less that 50% the 100 days historical volatility.
Regards,
KL Koo
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Rank: Advanced Member
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Joined: 10/28/2004(UTC)
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Location: Perth, Western Australia
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klkoo,
I don't quite understand your question, but I hope my formula for Historical Volatility Ratio (below) helps...
---8<---------------------------------
prd1:=Input("Short Period",1,2560,6);
prd2:=Input("Long Period",1,2560,100);
x:=Log(C/Ref(C,-1));
HVR:=Stdev(x,LastValue(Min(prd1,prd2)))/Stdev(x,LastValue(Max(prd1,prd2)));
HVR;
---8<---------------------------------
wabbit :D
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