OHV: Varadi's Offsetting HV
In pdrano/IKTrading: Custom indicators, signals, and rules
Description
Usage
Arguments
Value
References
Description
computes a ratio of an n1-day volatility to an n1-lagged
n2-day volatility.
Usage
1
Arguments
x
a time series
n1
a lookback period for the first rolling
standard deviation and lag for the second standard
deviation
n2
a lookback period for the second standard
deviation
sample
whether or not to use a sample calculation
or population calculation for standard deviation
Value
a volatility ratio
References
https://cssanalytics.wordpress.com/2010/11/18/310-offset-hv-as-a-mean-reversion-filter/
pdrano/IKTrading documentation built on May 6, 2019, 10:51 p.m.
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Description Usage Arguments Value References
Description
computes a ratio of an n1-day volatility to an n1-lagged n2-day volatility.
Usage
1 |
Arguments
x |
a time series |
n1 |
a lookback period for the first rolling standard deviation and lag for the second standard deviation |
n2 |
a lookback period for the second standard deviation |
sample |
whether or not to use a sample calculation or population calculation for standard deviation |
Value
a volatility ratio
References
https://cssanalytics.wordpress.com/2010/11/18/310-offset-hv-as-a-mean-reversion-filter/
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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