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HistoricalVolatility

Summary

The measured price fluctuation over a specified time period.

Remarks

The higher the values of the indicator, the more volatile an instrument is.

Signature 

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public abstract interface HistoricalVolatility

Namespace

cAlgo.API.Indicators

Examples

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 private HistoricalVolatility historicalVolatility;
    private const int BarHistory = 252;
    [Parameter("Period", DefaultValue = 14)]
    public int Period { get; set; }
    protected override void Initialize()
    {
     historicalVolatility = Indicators.HistoricalVolatility
         (Bars.ClosePrices, Period, BarHistory);
    }

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 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);
             }
         }
     }
 }

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 import clr
 clr.AddReference("cAlgo.API")
 from cAlgo.API import *
 class Test():    
     def initialize(self):
         # Period and BarHistory are parameters defined in C# file of indicator 
         self.historicalVolatility = api.Indicators.HistoricalVolatility(api.Bars.ClosePrices, api.Period, api.BarHistory)

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 import clr
 clr.AddReference("cAlgo.API")
 # Import cAlgo API types
 from cAlgo.API import *
 # Import trading wrapper functions
 from robot_wrapper import *
 class HistoricalVolatilitySample():
     def on_start(self):
         self.volumeInUnits = api.Symbol.QuantityToVolumeInUnits(api.VolumeInLots)
         self.historicalVolatility = api.Indicators.HistoricalVolatility(api.Bars.ClosePrices, api.Periods, api.BarHistory);
         self.simpleMovingAverage = api.Indicators.SimpleMovingAverage(api.Bars.ClosePrices, 9);
     def on_bar_closed(self):
         if self.historicalVolatility.Result.Last(0) < Functions.Maximum(self.historicalVolatility.Result, 14):
             return
         if api.Bars.ClosePrices.Last(0) > self.simpleMovingAverage.Result.Last(0) and api.Bars.ClosePrices.Last(1) < self.simpleMovingAverage.Result.Last(1):
             self.close_positions(TradeType.Sell)
             api.ExecuteMarketOrder(TradeType.Buy, api.SymbolName, self.volumeInUnits, api.Label, api.StopLossInPips, api.TakeProfitInPips)
         elif api.Bars.ClosePrices.Last(0) < self.simpleMovingAverage.Result.Last(0) and api.Bars.ClosePrices.Last(1) > self.simpleMovingAverage.Result.Last(1):
             self.close_positions(TradeType.Buy)
             api.ExecuteMarketOrder(TradeType.Sell, api.SymbolName, self.volumeInUnits, api.Label, api.StopLossInPips, api.TakeProfitInPips)
     def get_bot_positions(self):
         return api.Positions.FindAll(api.Label)
     def close_positions(self, tradeType):
         for position in self.get_bot_positions():
             if position.TradeType != tradeType:
                 continue
             api.ClosePosition(position)

Properties

Result

Summary

The result of the HistoricalVolatility Indicator

Signature 

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public abstract IndicatorDataSeries Result {get;}

Return Value

IndicatorDataSeries

Examples

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 public override void Calculate(int index)
 {
     Print("Historical Volatility = {0}",
          _historicalVolatility.Result[index]);
 }

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 def calculate(self, index):
     print(f"Historical Volatility = {self.historicalVolatility.Result[index]}")