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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
86fe32a682
Co-authored-by: Claude Opus 4.5 <noreply@anthropic.com> Co-authored-by: aider (openrouter/anthropic/claude-sonnet-4) <aider@aider.chat> Co-authored-by: Warp <agent@warp.dev>
62 lines
3.0 KiB
Plaintext
62 lines
3.0 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Historical Volatility (HV)", "HV", overlay=false)
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//@function Calculates Historical Volatility (Close-to-Close).
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//@param src_price The source series to calculate returns from. Default is close.
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//@param length_hv The period length for calculating the standard deviation of returns.
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//@param annualize Boolean to indicate if the volatility should be annualized. Default is true.
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//@param annualPeriods Number of periods in a year for annualization. Default is 252 for daily data.
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//@returns float The Historical Volatility value.
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//@optimized for performance and dirty data
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hv(series float src_price, simple int length_hv, simple bool annualize = true, simple int annualPeriods = 252) =>
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if length_hv <= 1
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runtime.error("Length for HV must be greater than 1")
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if annualize and annualPeriods <= 0
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runtime.error("Annual periods must be greater than 0 if annualizing")
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var array<float> _buffer_hv = array.new_float(length_hv, na)
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var int _head_idx_hv = 0
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var int _current_fill_count_hv = 0
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var float _sum_val_hv = 0.0
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var float _sum_sq_val_hv = 0.0
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float logReturn = na(src_price[1]) or src_price[1] == 0 ? na : math.log(src_price / nz(src_price[1], src_price))
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float stdDevLogReturns = na
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if not na(logReturn)
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float _oldest_val_in_buffer_hv = array.get(_buffer_hv, _head_idx_hv)
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if not na(_oldest_val_in_buffer_hv)
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_sum_val_hv -= _oldest_val_in_buffer_hv
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_sum_sq_val_hv -= _oldest_val_in_buffer_hv * _oldest_val_in_buffer_hv
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_current_fill_count_hv -= 1
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float _current_log_return_val = nz(logReturn)
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_sum_val_hv += _current_log_return_val
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_sum_sq_val_hv += _current_log_return_val * _current_log_return_val
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_current_fill_count_hv += 1
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array.set(_buffer_hv, _head_idx_hv, _current_log_return_val)
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_head_idx_hv := (_head_idx_hv + 1) % length_hv
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if _current_fill_count_hv > 1
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float _variance_hv = (_sum_sq_val_hv / _current_fill_count_hv) - math.pow(_sum_val_hv / _current_fill_count_hv, 2)
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stdDevLogReturns := math.sqrt(math.max(0.0, _variance_hv))
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else
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stdDevLogReturns := 0.0
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else
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stdDevLogReturns := na
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float volatility = stdDevLogReturns
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if annualize and not na(volatility)
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volatility := volatility * math.sqrt(float(annualPeriods))
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volatility
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// ---------- Main loop ----------
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// Inputs
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i_source = input.source(close, "Source")
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i_length = input.int(20, "Length", minval=2, tooltip="Period for calculating standard deviation of returns")
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i_annualize = input.bool(true, "Annualize Volatility", tooltip="Annualize the volatility output")
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i_annualPeriods = input.int(252, "Annual Periods", minval=1, tooltip="Number of periods in a year for annualization (e.g., 252 for daily, 52 for weekly)")
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// Calculation
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hvValue = hv(i_source, i_length, i_annualize, i_annualPeriods)
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// Plot
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plot(hvValue, "HV", color=color.yellow, linewidth=2)
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