FR H-Volatility - page 42
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Yeah exactly PMMSS, the first file seems to be clear. But what about the second one and the mismatch of ticks and volume ?
Hi Sergei!
In the second file, the third column, is the through time - the number of seconds elapsed from 1971 to "now". As for the mismatching of volumes in Alpari data and the number of ticks per minute, that can be explained by the fact that a minute bar isn't always equal to a minute for example or something else... I don't know.
Dolzhen skazat', chto takimi 'pipis'kami' Market Makers on FX ogromnie deni zarabativat. Vopros vozmozhnosti vipolnit' sdelku. Esli govorit' o prop kagi-H strategy, to konechno nado vibirat' gramotno instrumenti, na EURUSD, EURJPY luchshe ne sovat'sya, no est' mnogo drugih nizko volatil'nih instrumento gde eta teoriya dostatochno horosho rabotaet.
Rosh wrote (a):
There is such an opinion:Выбросил же я это на помойку по совсем другим причинам, по причинам того, что далеко не все что красиво выглядит на бумаге причем вполне робастно и на out of sample, окажется таким же при реальной торговле. Тут начинают работать вещи абсолютно не отражаемые на тестовых графиках и окажется что во все ваши прибыльные системные трейды в реале попросту физически НЕ ВОЙТИ, хотя на параллельном реалтайм тесте компьютер вам все входы изобразит, а вот в проигрышные реал скажет - добро пожаловать! И поэтому например Ширяев с Пастуховым сливные со свистом ибо они теоретики и собирают теоретическую прибыль по капелькам, которых в реале им никто не даст, а дадут лишь максимальные лоссы. Прознать про все это (и не только про это) можно лишь в реальной торговле. Еще раз повторю - Ваш график неторгуем с прибылью в реале. И это не меренье пиписьками, а просто дружеский совет позволяющий Вам сэкономить на накладных расходах.
Fuf, I got to this topic. interested in the second post from the top here https://forum.mql4.com/ru/20562/page14#154564
I wrote in that thread, but it did not take root there and about the NS that topic, it was advised either to create a new or find an old one, I sort of found similarity here)))
the topic seems to be right on track. well, we'll get into it later.
hello everyone and happy new year!
hello everyone great site!!!
help me write an indy
I need one like here https://www.youtube.com/watch?v=V_cj4A0ysD0#t=346
as an oscillator to calculate historical and expected volatility in %
for mt4
Here is a way to calculate :
The calculation of 20 day annual historical volatility is shown below.
Step 1. Divide today's close by the previous market day's close.
Step 2. Take the natural logarithm of the quotient obtained in step 1. As an example, let's calculate the annual historical volatility of the Japanese Yen as of March 1991. We will use the format (year/month/day) when writing the date. Let's divide the close of 910225, equal to 74.52, by the close of 910222, equal to 75.52.
74.82 / 75.52 = 0.9907309322 The natural logarithm of 0.9907309322 is 0.009312258.
Step 3: After 21 days, you will have 20 values for step 2. Now calculate the 20-day moving average of the values from step 2.
Step 4: Find the 20-day variance of the data sample from step 2. This requires a 20-day moving average (see step 3). Next, for each of the last 20 days, subtract the moving average from the values in step 2. Now square these values in order to convert all negative answers into positive ones. Then add all the values of the last 20 days. Finally, divide the sum by 19 to obtain the variance of the sample data for the last 20 days. The 20 day variance for 901226 is 0.00009. You can similarly calculate the 20-day variance for any day.
Step 5: Once you have determined the 20-day variance for a particular day, you need to convert it to the 20-day standard deviation. This is easily done by extracting the square root of the variance. Thus, for 901226, the square root of the variance (which has been shown to be 0.00009) will give us a 20-day standard deviation of 0.009486832981.
Step 6. Now convert the data obtained to "annualised" data. Since we use daily data and assume that there are 252 trading days in a year (approximately) for the yen, we multiply the answers from step 5 by the square root of 252, i.e. by 15.87450787. For 901226, the 20-day sample standard deviation is 0.009486832981. By multiplying this by 15.87450787 we obtain 0.1505988048. This value is the historical volatility, in our case 15.06%, and it can be used as the volatility input to the Black-Scholes option pricing model.
Thank you for your attention and understanding)
on the script:
I think that such an indicator will be in demand
because calculation of volatility in the market is the top priority for further decisions
i.e., in calculating the low volatility (price), buy at a high (price), sell - that's the essence of the oscillator
i think if you write it correctly it will be useful for most traders to analyze their strategy in such a popular terminal as mt4
THANK YOU FOR YOUR FEEDBACK!
Here they will write.