Annualized Historical Volatility

Technical Analysis Indicator: volatility

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Function Prototype

/* Annualized Historical Volatility */
/* Type: indicator */
/* Input arrays: 1    Options: 1    Output arrays: 1 */
/* Inputs: real */
/* Options: period */
/* Outputs: volatility */
int ti_volatility_start(TI_REAL const *options);
int ti_volatility(int size,
      TI_REAL const *const *inputs,
      TI_REAL const *options,
      TI_REAL *const *outputs);

Description

This documentation is still a work in progress. It has omissions, and it probably has errors too. If you see any issues, or have any general feedback, please get in touch.

The Annualized Historical Volatility indicator calculates the volatility over a moving window.

It takes one parameters: the period n.

The calculation is as follows:

$$c_{t} = \frac{in_{t}}{in_{t-1}}-1$$
$$ma_{t} = \frac{1}{n} \sum_{i=0}^{n-1} c_{t-i}$$
$$volatility_{t} = \sqrt{252} \cdot \sqrt {\frac{1}{n} \sum_{i=0}^{n-1} (c_{t-i}-ma_{t})^{2}}$$

The constant 252 comes from the number of trading days in a typical year.

See Also

References

Example Usage

Calling From C

/* Example usage of Annualized Historical Volatility */
/* Assuming that 'input' is a pre-loaded array of size 'in_size'. */
TI_REAL *inputs[] = {input};
TI_REAL options[] = {5}; /* period */
TI_REAL *outputs[1]; /* volatility */

/* Determine how large the output size is for our options. */
const int out_size = in_size - ti_volatility_start(options);

/* Allocate memory for output. */
outputs[0] = malloc(sizeof(TI_REAL) * out_size); assert(outputs[0] != 0); /* volatility */

/* Run the actual calculation. */
const int ret = ti_volatility(in_size, inputs, options, outputs);
assert(ret == TI_OKAY);

Calling From Lua (with Tulip Chart bindings)

-- Example usage of Annualized Historical Volatility
volatility = ti.volatility(input, 5)

Example Calculation

period = 5

dateinputvolatility
2005-11-0181.59
2005-11-0281.06
2005-11-0382.87
2005-11-0483.00
2005-11-0783.61
2005-11-0883.150.17
2005-11-0982.840.16
2005-11-1083.990.11
2005-11-1184.550.12
2005-11-1484.360.12
2005-11-1585.530.12
2005-11-1686.540.10
2005-11-1786.890.09
2005-11-1887.770.09
2005-11-2187.290.11

Chart

 

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