I propose a new formula for the volatility indicator - page 8
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How's he doing on the Fifth, without the locs?!
What's wrong with that. Volatility is stationary. Well, or almost. Pseudo will do, too.
If someone doesn't know how to take advantage of a girl's plight, that's their ethical problem. I don't have any moral inhibitions.
Is volatility supposed to be inherently statistically valid patterns?
Here is a selection of oxen from the R
Volatility (CLOSE)
Historical volatility calculation using CLOSEprices
- OHLC volatility: Garman and Klass (garman.klass)
Volatility of Garman and Klass. When calculating volatility on history, it assumes Brownian motion with zero bias and no jumps (i.e. open = close) . This estimation function is 7.4 times more effective than CLOSE estimation
-High-Low Volatility: parkinson
The Parkinson's formula estimates the volatility on the history on High-Lowprices .
- OHLC volatility: rogers and satchell
Roger and Satchell's function for calculating volatility on history takes into account non-zero drift, but does not assume jumps.
- OHLC Volatility: Garman and Klass - Jan and Zang (gk.yz)
This function is a modified version of the Garman and Klass function, which takes into account the opening gaps.
-OHLC Volatility: Yang and Zang (yang.zhang)The Yang and Zang function calculates volatilities on history and has minimal estimation error, and is independent of drift and opening gaps. It can be interpreted as a weighted average of the Rogers and Satchell function,OPEN-CLOSEvolatility
"All stolen before us"
Here is a selection of oxen from the R
Volatility (CLOSE)
Historical volatility calculation using CLOSEprices
- OHLC volatility: Garman and Klass (garman.klass)
Volatility of Garman and Klass. When calculating volatility on history, it assumes Brownian motion with zero bias and no jumps (i.e. open = close) . This estimation function is 7.4 times more effective than CLOSE estimation
-High-Low Volatility: parkinson
The Parkinson's formula estimates the volatility on the history on High-Lowprices .
- OHLC volatility: rogers and satchell
Roger and Satchell's function for calculating volatility on history takes into account non-zero drift, but does not assume jumps.
- OHLC Volatility: Garman and Klass - Jan and Zang (gk.yz)
This function is a modified version of the Garman and Klass function, which takes into account the opening gaps.
-OHLC Volatility: Yang and Zang (yang.zhang)The Yang and Zang function calculates volatilities on history and has minimal estimation error, and is independent of drift and opening gaps. It can be interpreted as a weighted average of the Rogers and Satchell function, OPEN-CLOSEvolatility
"All stolen before us"
Just like they will "steal" after us. Is there no reason for us to try?