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Garman-Klass volatility estimator for Amibroker (AFL)
Rating:
5 / 5 (Votes 1)
Tags:
amibroker, exploration
http://formulapages.com/eq/402
Exploration outputs Garman-Klass volatility
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Indicator / Formula
Copy & Paste Friendly
period = Param("lookback period",30,5,300,1);
TimeFrameSet(inDaily);
GKvol = sqrt(252/period*(0.5 * (ln(H/L))^2 - (2*ln(2)-1) * (ln(O/C))^2 ));
TimeFrameRestore();
Filter=1;
AddColumn(GKvol,"GKvol", 1.0, colorDefault, colorDefault,45);1 comments
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Seems sum function is missing
Change GKvol with this one:
GKvol = sqrt(252/period * Sum((0.5 * (ln(H/L))^2 – (2*ln(2)-1) * (ln(O/C))^2 ), period));