NinjaScript equivalent of EasyLanguage's volatility function? - NinjaTrader Programming | futures io social day trading

NinjaScript equivalent of EasyLanguage's volatility function?
 Updated: May 29th, 2010 (01:39 AM) Views / Replies: 1,813 / 3 Created: May 27th, 2010 (04:14 PM) by zwentz Attachments: 0

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# NinjaScript equivalent of EasyLanguage's volatility function?

Vendor: www.ninjaterminal.com
Austin, TX

Broker/Data: Optimus Futures/Rithmic
Favorite Futures: Futures [ZB]

Posts: 36 since Sep 2009

NinjaScript equivalent of EasyLanguage's volatility function?

I'm having difficulty finding an equivalent of EasyLanguage's Volatility function. For reference here is EasyLanguage's definition of "Volatility."

Quoting
 Volatility (Function) Disclaimer The Volatility series function measures the market volatility by plotting a smoothed average of the TrueRange. It returns an average of the TrueRange over a specific number of bars, giving higher weight to the TrueRange of the most recent bar. Syntax Volatility(Length) Returns (Double) A numeric value containing the market volatility. As the number increases, the market is more volatile. Description Volatility is the variation in price over a specific interval (the difference between the highest and lowest prices). As the time interval being studied increases, volatility also increases to a maximum before leveling off. As prices increase, the volatility tolerance also increases. Note The Volatility function uses a slightly different set of calculations than the original formula. The Volatility variation tends to smooth recent activity, which means that it will take more time (bars) to ‘normalize.’

I've tried Ninja's RVI, ATR, and StdDev methods, none of which give comparable results.

Has anyone has success with this before?

Thanks.

 May 27th, 2010, 04:14 PM #2 (permalink) Quick Summary Quick Summary Post Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 May 27th, 2010, 04:53 PM #3 (permalink) Vendor: www.ninjaterminal.com  Austin, TX   Futures Experience: Advanced Platform: NinjaTrader Broker/Data: Optimus Futures/Rithmic Favorite Futures: Futures [ZB]   Posts: 36 since Sep 2009 Thanks: 12 given, 22 received Solved it. Let's say you want Volatility(6). You would do this in Ninjatrader to get the equivalent: SMA(ATR(3),6)[0] Basically you take the SMA of ATR with half your period. It's not exact, but it's damn close.
 The following 2 users say Thank You to zwentz for this post:

 May 29th, 2010, 01:39 AM #4 (permalink) Elite Member Santa Maria   Futures Experience: Advanced Platform: NinjaTrader, ThinkOrSwim Broker/Data: Mirus/Zen-Fire Favorite Futures: ES   Posts: 295 since May 2010 Thanks: 101 given, 320 received Since their description says "giving higher weight to the TrueRange of the most recent bar" they are probably not using an SMA, maybe an EMA?

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