Historical Volatility

[Bernhard_mu]

Hello,

I have not succeeded in finding an indicator or calculation method for historical volatility in NT 7. I am surprised as HV is standard in technical software today.

Is there an indicator or at least how can I use ln (natural log) to create an indicator myself?

Thanks a lot and regards

[QuantKey_Bruce]

Math.Log(x) is ln(x). Math.Log(x, y) is log base y of x.

You might want to also read this NT7 thread: https://forum.ninjatrader.com/forum/...lity-indicator

[NinjaTrader_BrandonH]

Hello Bernhard_mu,

Thanks for your post.

The information QuantKey_Bruce provided could be used to create a NinjaScript indicator that calculates this value.

Please see the forum thread that QuantKey_Bruce shared in their post for further information about calculating Historical Volatility in a custom NinjaScript.

Let us know if we may assist further.

[Bernhard_mu]

Hello,

thanks for your quick reply!

I tried to code a part of the historical volatility in an indicator but NT7 refused to plot me a value (see below). The problem must be in line 55. If I replace the variable "value" with let's say 90 "value = Math.Sqrt(90)" then I get a plot of 30. But the calculation of a variable does not work. How can I solve this?

[QuantKey_Bruce]

You say it doesn't work. Does it not compile? Or does it plot the wrong value? Does it throw an exception in the Log tab of Control Center? Also, what is Tage? Is that an input parameter and if so, what value does it have?

[Bernhard_mu]

Hello Bruce,

the Log tab says: Value outside of valid range. I wanted to take the square root of a negative value. This was the problem.

Thanks a lot for your help and hint!

Regards
Bernhard

[QuantKey_Bruce]

Okay. You cannot take the square root of a negative value using the Math.Sqrt function. You could replace line 55 with: value = Math.Sqrt(Math.Max(0, value)); There is such a thing in math as the square root of a negative number, but the answer would be a complex number that is some multiple of i, where i^2 = -1. However, Math.Sqrt only handles real numbers.