Summary
The measured price fluctuation over a specified time period.
Remarks
The higher the values of the indicator, the more volatile an instrument is.
Syntax
public interface HistoricalVolatility
Members
Name | Type | Summary |
---|---|---|
Result | Property | The result of the HistoricalVolatility Indicator |
Example 1
private HistoricalVolatility historicalVolatility; private const int BarHistory = 252; [Parameter("Period", DefaultValue = 14)] public int Period { get; set; } protected override void Initialize() { historicalVolatility = Indicators.HistoricalVolatility (MarketSeries.Close, Period, BarHistory); }
Example 2
using cAlgo.API; using cAlgo.API.Indicators; namespace cAlgo.Robots { // This sample cBot shows how to use the Historical Volatility indicator [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)] public class HistoricalVolatilitySample : Robot { private double _volumeInUnits; private HistoricalVolatility _historicalVolatility; private SimpleMovingAverage _simpleMovingAverage; [Parameter("Volume (Lots)", DefaultValue = 0.01)] public double VolumeInLots { get; set; } [Parameter("Stop Loss (Pips)", DefaultValue = 10)] public double StopLossInPips { get; set; } [Parameter("Take Profit (Pips)", DefaultValue = 10)] public double TakeProfitInPips { get; set; } [Parameter("Label", DefaultValue = "Sample")] public string Label { get; set; } public Position[] BotPositions { get { return Positions.FindAll(Label); } } protected override void OnStart() { _volumeInUnits = Symbol.QuantityToVolumeInUnits(VolumeInLots); _historicalVolatility = Indicators.HistoricalVolatility(Bars.ClosePrices, 14, 252); _simpleMovingAverage = Indicators.SimpleMovingAverage(Bars.ClosePrices, 9); } protected override void OnBar() { if (_historicalVolatility.Result.Last(1) < _historicalVolatility.Result.Maximum(14)) return; if (Bars.ClosePrices.Last(1) > _simpleMovingAverage.Result.Last(1) && Bars.ClosePrices.Last(2) < _simpleMovingAverage.Result.Last(2)) { ClosePositions(TradeType.Sell); ExecuteMarketOrder(TradeType.Buy, SymbolName, _volumeInUnits, Label, StopLossInPips, TakeProfitInPips); } else if (Bars.ClosePrices.Last(1) < _simpleMovingAverage.Result.Last(1) && Bars.ClosePrices.Last(2) > _simpleMovingAverage.Result.Last(2)) { ClosePositions(TradeType.Buy); ExecuteMarketOrder(TradeType.Sell, SymbolName, _volumeInUnits, Label, StopLossInPips, TakeProfitInPips); } } private void ClosePositions(TradeType tradeType) { foreach (var position in BotPositions) { if (position.TradeType != tradeType) continue; ClosePosition(position); } } } }