Historical Volatility Index
HistoricalVolatilityIndex(Vector, Periods, Bar History, Standard Deviations)
HVI(Vector, Periods, Bar History, Standard Deviations)
Historical volatility is the log-normal standard deviation. The Historical Volatility Index is based on the book by Don Fishback, “Odds: The Key to 90% Winners”.
The formula for a 30-day historical volatility index between 1 and 0 is: Stdev(Log(Close / Close Yesterday), 30) * Sqrt(365)
Some traders use 252 instead of 365 for the bar history that is used by the
square root function. The Log value is a natural log (i.e. Log10).
High values of HVI indicate that the stock is volatile, while low values of HVI indicate that the stock is either flat or trending steadily.
Bar History: 30
Standard Deviations: 2
set BUY = HVI(CLOSE, 15, 30, 2) < 0.01