Raschke & Connors developed a way of monitoring the markets for likely range expansion by measuring the ratio between the 6 period Historical Volatility and the 100 period Historical Volatility. A value below .5 indicates that the market is primed for a strong move. "sbgtrading" offered a way to plot Historical Volatility via the indicator offering at http://www.ninjatrader.com/support/f...d=1&linkid=101, the code of which is posted below.
I am looking for a way to modify this code so that it will calculate both the 6 period and 100 period Historical Volatility, and then plot the ratio of the two. As I only have a rudimentary understanding of NinjaScript, can anyone suggest a way of going about this?
Thanks in advance.
I am looking for a way to modify this code so that it will calculate both the 6 period and 100 period Historical Volatility, and then plot the ratio of the two. As I only have a rudimentary understanding of NinjaScript, can anyone suggest a way of going about this?
Thanks in advance.
Code:
#region Using declarations
using System;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.ComponentModel;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Gui.Chart;
#endregion
// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
/// <summary>
/// historic volatility indicator by Michael Krause, [email protected]. http://scriabinop23.blogspot.com
/// 2/1/2008
/// </summary>
[Description("historical volatility")]
public class HistVolAny : Indicator
{
#region Variables
// Wizard generated variables
private int period = 9; // Default setting for Period
private int interval = 6; // Default setting for Interval
private double sumsqdev = 0;
private double sumnatlog = 0;
private double closeratio = 0;
private double mean = 0;
private int sessioncount = 0;
private double histvolatile = 0 ;
private double[] natlog;
private double[] squareddeviation;
// User defined variables (add any user defined variables below)
#endregion
/// <summary>
/// This method is used to configure the indicator and is called once before any bar data is loaded.
/// </summary>
protected override void Initialize()
{
Add(new Plot(Color.Red, PlotStyle.Line, "Historic Volatility of any timeframe"));
CalculateOnBarClose = true;
Overlay = false;
PriceTypeSupported = true;
natlog = new double[period];
squareddeviation = new double[period];
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
// Only allow this to run in a minute type period.
if (CurrentBar < period+1 ||
(Bars.Period.Id == PeriodType.Tick)
||(Bars.Period.Id == PeriodType.Range)
||(Bars.Period.Id == PeriodType.Second)
||(Bars.Period.Id == PeriodType.Volume)
||(Bars.Period.Id == PeriodType.Year))
{Value.Set(0);
return;}
for (int i=0; i < period; i++)
{
closeratio = Close[i]/Close[i+1];
natlog[i] = Math.Log(closeratio);
}
for (int i=0; i < period; i++)
sumnatlog += natlog[i];
mean = sumnatlog / period;
for (int i=0; i < period; i++)
squareddeviation[i] = Math.Pow(natlog[i] - mean,2) ;
for (int i=0; i < period; i++)
sumsqdev += squareddeviation[i];
if (Bars.Period.Id == PeriodType.Minute)
histvolatile = Math.Sqrt(Math.Abs(sumsqdev/ period)) * Math.Sqrt(252*1440/Bars.Period.Value)*100;
else
if (Bars.Period.Id == PeriodType.Day)
histvolatile = Math.Sqrt(Math.Abs(sumsqdev/ period)) * Math.Sqrt(252/Bars.Period.Value)*100;
else
if (Bars.Period.Id == PeriodType.Week)
histvolatile = Math.Sqrt(Math.Abs(sumsqdev/ period)) * Math.Sqrt(52/Bars.Period.Value)*100;
if (Bars.Period.Id == PeriodType.Month)
histvolatile = Math.Sqrt(Math.Abs(sumsqdev/ period)) * Math.Sqrt(12/Bars.Period.Value)*100;
sumnatlog =0; //reset variables for next iteration
sumsqdev =0; //ditto
Value.Set(histvolatile);
}
#region Properties
[Browsable(false)] // this line prevents the data series from being displayed in the indicator properties dialog, do not remove
[XmlIgnore()] // this line ensures that the indicator can be saved/recovered as part of a chart template, do not remove
public DataSeries Value
{
get { return Values[0]; }
}
[Description("period")]
[Category("Parameters")]
public int Period
{
get { return period; }
set { period = Math.Max(1, value); }
}
#endregion
}
}
#region NinjaScript generated code. Neither change nor remove.
// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
public partial class Indicator : IndicatorBase
{
private HistVolAny[] cacheHistVolAny = null;
private static HistVolAny checkHistVolAny = new HistVolAny();
/// <summary>
/// historical volatility
/// </summary>
/// <returns></returns>
public HistVolAny HistVolAny(int period)
{
return HistVolAny(Input, period);
}
/// <summary>
/// historical volatility
/// </summary>
/// <returns></returns>
public HistVolAny HistVolAny(Data.IDataSeries input, int period)
{
checkHistVolAny.Period = period;
period = checkHistVolAny.Period;
if (cacheHistVolAny != null)
for (int idx = 0; idx < cacheHistVolAny.Length; idx++)
if (cacheHistVolAny[idx].Period == period && cacheHistVolAny[idx].EqualsInput(input))
return cacheHistVolAny[idx];
HistVolAny indicator = new HistVolAny();
indicator.BarsRequired = BarsRequired;
indicator.CalculateOnBarClose = CalculateOnBarClose;
indicator.Input = input;
indicator.Period = period;
indicator.SetUp();
HistVolAny[] tmp = new HistVolAny[cacheHistVolAny == null ? 1 : cacheHistVolAny.Length + 1];
if (cacheHistVolAny != null)
cacheHistVolAny.CopyTo(tmp, 0);
tmp[tmp.Length - 1] = indicator;
cacheHistVolAny = tmp;
Indicators.Add(indicator);
return indicator;
}
}
}
// This namespace holds all market analyzer column definitions and is required. Do not change it.
namespace NinjaTrader.MarketAnalyzer
{
public partial class Column : ColumnBase
{
/// <summary>
/// historical volatility
/// </summary>
/// <returns></returns>
[Gui.Design.WizardCondition("Indicator")]
public Indicator.HistVolAny HistVolAny(int period)
{
return _indicator.HistVolAny(Input, period);
}
/// <summary>
/// historical volatility
/// </summary>
/// <returns></returns>
public Indicator.HistVolAny HistVolAny(Data.IDataSeries input, int period)
{
return _indicator.HistVolAny(input, period);
}
}
}
// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
public partial class Strategy : StrategyBase
{
/// <summary>
/// historical volatility
/// </summary>
/// <returns></returns>
[Gui.Design.WizardCondition("Indicator")]
public Indicator.HistVolAny HistVolAny(int period)
{
return _indicator.HistVolAny(Input, period);
}
/// <summary>
/// historical volatility
/// </summary>
/// <returns></returns>
public Indicator.HistVolAny HistVolAny(Data.IDataSeries input, int period)
{
if (InInitialize && input == null)
throw new ArgumentException("You only can access an indicator with the default input/bar series from within the 'Initialize()' method");
return _indicator.HistVolAny(input, period);
}
}
}
#endregion
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