I would like to include historical volatility (HV) in my ranking. Just the standard calculation ( http://www.ivolatility.com/help/2.html ) Does P123 have a factor for this?
Tom C
Hi, you have to do it yourself with stddev()100252^(1/2). And inside stddev: ln(close(0)/close(1)),etc… Use customs formulas, there won’t be enough room in one line to write all the code. Use 252^(1/2) to annualize your volatility and 100 if you don’t want your volatility to be a percentage.
Thanks much. I appreciate it.
Here’s what I used for a 20 period in case anyone wants to cut and paste it in the future.
252^(1/2)100stddev(ln(Close(1)/Close(0)),ln(Close(2)/Close(1)),ln(Close(3)/Close(2)),ln(Close(4)/Close(3)),ln(Close(5)/Close(4)),ln(Close(6)/Close(5)),ln(Close(7)/Close(6)),ln(Close(8)/Close(7)),ln(Close(9)/Close(8)),ln(Close(10)/Close(9)),ln(Close(11)/Close(10)),ln(Close(12)/Close(11)),ln(Close(13)/Close(12)),ln(Close(14)/Close(13)),ln(Close(15)/Close(14)),ln(Close(16)/Close(15)),ln(Close(17)/Close(16)),ln(Close(18)/Close(17)),ln(Close(19)/Close(18)),ln(Close(20)/Close(19)))
Hi Tom,
It doesn’t matter much because you’re working with logs but it’s best practice to use the returns not the inverse returns:
close(0)/close(1) rather than close(1)/close(0).