Historical Volatility Index

HistoricalVolatilityIndex(Vector, Periods, Bar History, Standard Deviations)
HVI(Vector, Periods, Bar History, Standard Deviations)

Overview
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).

Interpretation
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.

Recommended Parameters
Vector: CLOSE
Periods: 15
Bar History: 30
Standard Deviations: 2

Example
set BUY = HVI(CLOSE, 15, 30, 2) < 0.01