VolatilityStdDev (Function)

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The VolatilityStdDev function calculates the statistical volatility, sometime called historical volatility, based on a standard deviation of closes for the number of days specified. This function is intended to be used only with daily bars.

Syntax

VolatilityStdDev(NumDays)

Returns (Double)

A numeric value containing VolatilityStdDev, based on a standard deviation of closes for the number of days specified.

Parameters

Name	Type	Description
NumDays	Numeric	Sets the number of bars to include in the volatility calculation

Remarks

The statistical volatility is sometimes called historical volatility. The volatility returned is annualized and is an indication of how much price movement as a percent has been observed over the specified time period.

Example

Assigns to Value1 the annualized statistical volatility for the last 30 days of closing prices for the symbol using the Standard Deviation of Closes Method.

Value1 = VolatilityStdDev(30);