IKTrading (version 1.0)

OHV: Varadi's Offsetting HV

Description

computes a ratio of an n1-day volatility to an n1-lagged n2-day volatility.

Usage

OHV(x, n1 = 3, n2 = 10, sample = TRUE)

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/