HistoricalVolatility
Summary
The measured price fluctuation over a specified time period.
The higher the values of the indicator, the more volatile an instrument is.
Signature
| public abstract interface HistoricalVolatility
|
Namespace
cAlgo.API.Indicators
Examples
| 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);
}
|
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56 | 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);
}
}
}
}
|
Properties
Result
Summary
The result of the HistoricalVolatility Indicator
Signature
| public abstract IndicatorDataSeries Result {get;}
|
Return Value
IndicatorDataSeries
Examples
| public override void Calculate(int index)
{
Print("Historical Volatility = {0}",
_historicalVolatility.Result[index]);
}
|