Historical Volatility System
Traders can utilize free Amibroker data feeds to develop a Historical Volatility System. This system uses historical price data to assess the volatility of an asset, aiding in risk management and trade optimization. By applying AFL code, traders can customize this system to suit their unique trading needs.
_SECTION_BEGIN("Connors Raschke historical volatility system");
// See http://trader.online.pl/MSZ/e-ex-Historical_Volatility_System_Connors_Raschkes.html
//
// Note http://www.amibroker.com/library/detail.php?id=115 has a mistake
// Connors/Raschke say buy based on "either an inside day or an NR4 day"
// but formula 115 uses AND instead of OR.
logRocc = log(C/Ref(C,-1));
HistVol = StDev(logRocc,5) / StDev(logRocc,99);
H_L = H-L;
NR4 = H_L == LLV(H_L,4);
Plot(HistVol, "HistVol", ParamColor("Color", colorCycle), styleLine);
Plot(0.5,"",colorBlack, styleDashed);
Plot(IIf(HistVol>0.5, 3, IIf(NR4,6, IIf(Inside(), 9, 3))),
"NR4 or Inside",
IIf(HistVol>0.5, colorLightGrey, IIf(NR4,colorLime, IIf(Inside(), colorBlue, colorLightGrey))),
styleOwnScale|styleArea|styleNoLabel, -0.5, 50);
NumColumns = 5;
Column0 = HistVol;
Column0Name = "HistVol";
Column1 = NR4;
Column1Name = "NR4Day";
Column2 = Inside();
Column2Name = "Inside";
Column3 = High+0.125;
Column3Name = "Buy Stop";
Column4 = Low-0.125;
Column4Name = "Sell Stop";
Filter = HistVol < 0.5 AND (NR4 OR Inside());
Buy = Filter;
_SECTION_END();