Hi,
If using trading days, the 260 figure does not take into consideration the
various holidays, but rather is just the number of calendar days minus the
number of weekend days.
Running a simple Scan on EOD data will show that US markets typically have
about 252 trading days/year, ranging from 251-253. The exception being 2001,
which had 248 days, due to additional closures caused by the 9/11 attacks.
// Set AA window Range from 1st of year to end of year then run Scan
Buy = Sell = 0;
firstBar = LastValue(ValueWhen(Status("firstbarinrange"), BarIndex()));
lastBar = LastValue(ValueWhen(Status("lastbarinrange"), BarIndex()));
_TRACE("" + (lastbar - firstbar + 1));
Try again the formula suggested earlier using 252 instead of 260 and see if it
gets you any closer to your target.
Mike
--- In amibroker@yahoogroups.com, "potatosoupz" <potatoso...@...> wrote:
>
> Thanks, I think your formula is correct, except you should be multiplying by
> 260, not 365, since 260 reflects actual trading days.
>
> See here: http://www2.barchart.com/support/learning.asp?what=hisvol&code=BSTK
>
> When I change your formula to 260, the results look very close to what is
> found on IVolatility.com. Let me know what you think.
>
> --- In amibroker@yahoogroups.com, "Anthony Faragasso" <ajf1111@> wrote:
> >
> > here is how I calculate Historical volatility: ( 20 period )
> >
> > hv1=20;
> > vl= StDev(log(C/Ref(C,-1)),hv1)*sqrt(365);
> >
> > ----- Original Message -----
> > From: Potato Soup
> > To: AmiBroker (Discussion List)
> > Sent: Saturday, November 14, 2009 9:33 AM
> > Subject: Re: [amibroker] Re: Trying to plot historical volatility with AFL
> >
> >
> >
> > Thx but they are showing historical or realized volatility, not implied
> > as far as I can tell.
> >
> > More to the point is what I'm doing correct or are there other preferred
> > methods of calculating historical volatility?
> >
> > -----Original Message-----
> > From: "dbwyatt_1999" <dbw451@>
> > Date: Sat, 14 Nov 2009 14:01:24
> > To: <amibroker@yahoogroups.com>
> > Subject: [amibroker] Re: Trying to plot historical volatility with AFL
> >
> >
> >
> > I'm not familiar with ivolatility.com, but I would guess they are
> > calculating an implied volatility based on closing SP option prices using
> > an option pricing model like Black-Scholes.
> >
> > Regards,
> >
> > David
> >
> >
> > --- In amibroker@yahoogroups.com, Potato Soup <potatosoupz@> wrote:
> > >
> > > I'm trying to plot the 30 day historical volatility of the S&P 500,
> > using the following AFL on a daily chart with around 2 years of end of day
> > prices for the S&P 500:
> > >
> > > Plot(StDev(Close, 30),"Historical Volatility", colorOrange,styleLine);
> > >
> > > However when I look at the values, they appear to be a bit off to what
> > I see when I look online here:
> > >
> > >
> > http://www.ivolatility.com/options.j?ticker=SPX:CBOE&R=1&period=12&chart=2&vct=
> >
> > >
> > > For today they have 18.99, where as my chart shows 19.348. All my other
> > values going back further don't match their chart either. Any ideas, are
> > they calculating it differently than just a simple standard deviation?
> > >
> >
> >
> >
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