// Downloaded From https://www.WiseStockTrader.com /////////// the preferred volatility estimator is Yang-Zhang volatility estimator // all the estimators compute sigma^2 // the preferred volatility estimator // for more info, see paper "Drift-independent Volatility Estimation Based on High, Low, Open and Close Prices" function Yang_Zhang_vol( n, _open, _high, _low, _close ) { _N_o = log( _open ) - log( Ref( _close, -1 ) ); // normalized open _N_u = log( _high ) - log( _open ); // normalized high _N_d = log( _low ) - log( _open ); // normalized low _N_c = log( _close ) - log( _open ); // normalized close V_rs = 1 / n * Sum( _N_u * ( _N_u - _N_c ) + _N_d * ( _N_d - _N_c ), n ); // RS volatility estimator _N_o_avg = 1 / n * Sum( _N_o, n ); V_o = 1 / ( n - 1 ) * Sum( ( _N_o - _N_o_avg ) ^ 2, n ); _N_c_avg = 1 / n * Sum( _N_c, n ); V_c = 1 / ( n - 1 ) * Sum( ( _N_c - _N_c_avg ) ^ 2, n ); k = 0.34 / ( 1.34 + ( n + 1 ) / ( n - 1 ) ); V_yang_zhang = V_o + k * V_c + ( 1 - k ) * V_rs; return V_yang_zhang ; } // the Parkinson volatility estimator function Parkinson_vol( n, _open, _high, _low, _close ) { //_N_o = log( _open ) - log( Ref( _close, -1 ) ); // normalized open _N_u = log( _high ) - log( _open ); // normalized high _N_d = log( _low ) - log( _open ); // normalized low //_N_c = log( _close ) - log( _open ); // normalized close V_p = 1 / ( n * 4 * log( 2 ) ) * Sum( ( _N_u - _N_d ) ^ 2, n ); return V_p; } // volatility recommended by Rogers AND Satchell (1991) AND Rogers, Satchell, AND Yoon (1994) function RS_vol( n, _open, _high, _low, _close ) { // _N_o = log( _open ) - log( Ref( _close, -1 ) ); // normalized open _N_u = log( _high ) - log( _open ); // normalized high _N_d = log( _low ) - log( _open ); // normalized low _N_c = log( _close ) - log( _open ); // normalized close V_rs = 1 / n * Sum( _N_u * ( _N_u - _N_c ) + _N_d * ( _N_d - _N_c ), n ); return V_rs; } // the traditional close-to-close volatility function C_2_C( n, _close ) { _ret = log( _close ) - log( Ref( _close, -1 ) ); _avg = 1 / n * Sum( _ret, n ); _vol = 1 / ( n - 1 ) * Sum( ( _ret - _avg ) ^ 2, n ); return _vol; }