Volatility and Standard Deviation

[amcdonald]

I am attempting to program an historical volatility measure but am unable to resolve problems of data type and series. Affected coding is as follows.

protected override void OnBarUpdate()
{
// Use this method for calculating your indicator values.

double mLog1 = Close [0] / Close [1]; // works fine
double mLog2 = Math.Log(mLog1); // works fine
double mSqrt = Math.Sqrt(365)*100; // works fine

double test = StdDev(mLog2,100) [0] * mSqrt;
// mLog2 type and series are the problems I cannot fix

Plot0.Set(test);

}

I appreciate your help.

Andrew

[VTtrader]

Hi Andrew,

mLog2 needs to be a DataSeries, not a double.

VT

edit to expand:

in Variable region add:
private DataSeries mLog2;

in Initialize() add:
mLog2 = new DataSeries(this);

in OnBarUpdate() define mLog2 using the Set method:
mLog2.Set(Math.Log(mLog1));

[amcdonald]

Volatility and Standard Deviation

Thanks for your quick reply.

I recognize that mLog2 needs to be a DataSeries, not a double. But I'm just new enough to NinjaTrader scripting to not know how to correct the problem. Could you explain in greater detail or refer me to an appropriate reference?

Thank you,

Andrew

[VTtrader]

Did you see my edit? If you need more help let me know.

VT

[amcdonald]

Whoops. I see that you've already explained how to handle the problem.

Thanks again,

Andrew