Discussing the article: "Implementing and Comparing Five Historical Volatility Estimators in MQL5"
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Check out the new article: Implementing and Comparing Five Historical Volatility Estimators in MQL5.
The study implements five historical-variance estimators in MQL5 and evaluates their one-session-ahead persistence forecasts for EURUSD D1 sessions using an M1 realized-variance proxy. Deterministic tests cover formulas, chronological order, and target construction. A configurable indicator, comparison scripts, and CSV outputs provide reproducible losses, calibration diagnostics, a common‑target mask, and sensitivity to the estimation window.
Historical volatility is not a single calculation. The five estimators use closing prices, the high–low range, or the complete OHLC tuple and encode different assumptions. Applying the generic label “historical volatility” without identifying the estimator can therefore conceal a material implementation choice.
This study compares five historical volatility estimators: Close-to-Close, Parkinson, Garman-Klass, Rogers-Satchell, and Yang-Zhang. The practical question is deliberately narrow:
Each rolling variance estimate is carried forward unchanged as a one-session-ahead persistence forecast. How do the five estimators rank against the next broker D1 session's M1 realized-variance proxy for EURUSD, and is the main Parkinson–Yang-Zhang QLIKE difference distinguishable from zero?
The implementation includes a reusable include module, a chronological comparison script, a deterministic validation script, a robustness script, and a configurable indicator. Detailed, summary, session-audit, paired circular moving-block bootstrap, and past-only rolling scale calibration CSV files are also provided. These components let MQL5 developers reproduce the workflow and verify the formulas, chronology, target construction, and reported comparisons.
The main comparison uses a 20-session D1 estimation window for EURUSD. The 10-session and 40-session windows are declared sensitivity settings.
Author: Roberto Danilo Riccio