Indicators: Historical Volatility - Parkinson
Dearest Mladen,
You are the Nobel price winner for indicators. But... given the formulas above (which are from the original Parkinson's publication, indeed), shouldn't line 51 of your code not be corrected from
double _volConst = 1.0/4.0*MathLog(2);
into
double _volConst = 1.0/(4.0*MathLog(2));
???
It's just a constant, so the only effect will be to "change scale" to the indicator. But... Given that Parkinson demonstrated that its number was an unbiased indicator of volatility, perhaps we should conform. Isn't it?
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Historical Volatility - Parkinson:
The Parkinson's number, or High Low Range Volatility developed by the physicist, Michael Parkinson in 1980, aims to estimate the Volatility of returns for a random walk using the High and Low in any particular period. IVolatility.com calculates daily Parkinson values. Prices are observed on a fixed time interval: n = 10, 20, 30, 60, 90, 120, 150, 180 days.
An important use of the Parkinson's number is the assessment of the distribution prices during the day as well as a better understanding of the market dynamics. Comparing the Parkinson's number and periodically sampled volatility helps traders understand the tendency towards mean reversion in the market as well as the distribution of stop-losses.
Author: Mladen Rakic