StockFetcher Forums · General Discussion · Am I calculating the HV correctly?<< >>Post Follow-up
pa247
60 posts
msg #147450
Ignore pa247
modified
4/18/2019 4:47:33 PM

Hi,

If I use this in my filter, is it the correct code for calculating the Historical Vol for 30 days and for one year?
thanks

set {HistVol30,Historical Volatility(30,1) 30 days ago }
set {HistVolYr,Historical Volatility(30,1) one year ago }
add column HistVol30
add column HistVolYr

KSK8
223 posts
msg #147451
Ignore KSK8
4/18/2019 6:26:29 PM

I believe so, the only change you need is to switch "1 year ago" with 52-weeks ago.

Fetcher[
set{HistVol30,Historical Volatility(30,1) 30 days ago}
set{HistVolYr,Historical Volatility(30,1) 52-weeks ago}
add column HistVol30
add column HistVolYr
]



graftonian
726 posts
msg #147455
Ignore graftonian
4/19/2019 9:54:53 AM

some good work by TRO here:
http://www.stockfetcher.com/forums2/Filter-Exchange/historical-volatility/56369/-1/56379

pa247
60 posts
msg #147458
Ignore pa247
4/19/2019 3:05:38 PM

thanks for info. This is what I have so far but I cant get the plots on the chart to go on top of each other instead of seperate. Can someone tell me where its wrong? Thanks

Fetcher[set{HVtoday, Historical Volatility(30,1) 0 days ago }
set{HV30, Historical Volatility(30,1) 30 days ago }
set{HV6month, Historical Volatility(30,1) 180 days ago }
set{HVyear, Historical Volatility(30,1) 365 days ago }

add column HVtoday
add column HV30
add column HV6month
add column HVYear

draw Hvol
draw HVtoday on plot Hvol
and draw HV30 on plot Hvol
and draw HV6month on plot Hvol
and draw HVYear on plot Hvol

market is NASDAQ 100
optionable
sort column 5 descending
]



graftonian
726 posts
msg #147460
Ignore graftonian
4/19/2019 5:06:02 PM

your variable "hvol" is undefined

pa247
60 posts
msg #147464
Ignore pa247
4/20/2019 9:07:00 AM

Thank you!

StockFetcher Forums · General Discussion · Am I calculating the HV correctly?<< >>Post Follow-up

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