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NinjaScript equivalent of EasyLanguage's volatility function?


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NinjaScript equivalent of EasyLanguage's volatility function?

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  #1 (permalink)
Austin, TX
 
Experience: Advanced
Platform: NinjaTrader
Broker: Optimus Futures/Rithmic
Trading: Futures [ZB]
 
Posts: 36 since Sep 2009
Thanks: 12 given, 22 received

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.

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  #3 (permalink)
Austin, TX
 
Experience: Advanced
Platform: NinjaTrader
Broker: Optimus Futures/Rithmic
Trading: Futures [ZB]
 
Posts: 36 since Sep 2009
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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.

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  #4 (permalink)
Santa Maria
 
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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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Last Updated on May 29, 2010


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