This is an interesting script, the resultant Risk Ranges are similar to Hedgeye's Risk Ranges, but in checking historical HE Risk Range data, they are not exactly the same. I wonder what tweaks can be made to make it more accurate.
jsampognaro
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@priceaction357, My thoughts are the same. In comparing the script to what I hear from Keith and Robert, this seems to be missing two things 1) the volatility of volatility and 2) volume. Happy to collaborate if possible.
@jsampognaro, I also do not collaborating, but the first part is figuring out the formula they are using to generate the Risk Ranges. A number of people do have the formula, but are not sharing it. LOL
jsampognaro
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@priceaction357, I don't blame them for not sharing it either. I'm sure Keith and team spent a lot of time developing it. Just looking to get as close as I can to augment the signals from HE.
jsampognaro
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@priceaction357, Lets collaborate to try and get something comparable.
priceaction357
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@jsampognaro, Feel free to DM me at your convenience.
TahaBintahir
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Hi Lagobrian32 i'm trying to understand what you are doing in this script the part that i don't understand is why are you doing the following
xPrice = log(close / close[1])
I assume you are trying to obtain the 'Continuously Compounded Rate of Return' and using that to calculate the historical volatility but shouldn't the xPrice expression be "xPrice=log(close[1]/close)" since 'close' represents today's closing price and 'close[1]' represents yesterdays closing price.
Or am i missing something?
TahaBintahir
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@Lagobrian32, I think trading view removed square brackets
Hi Lagobrian32 i'm trying to understand what you are doing in this script the part that i don't understand is why are you doing the following
xPrice = log(close / close(1))
I assume you are trying to obtain the 'Continuously Compounded Rate of Return' and using that to calculate the historical volatility but shouldn't the xPrice expression be "xPrice=log(close(1)/close)" since 'close' represents today's closing price and 'close(1)' represents yesterdays closing price.
I wonder what tweaks can be made to make it more accurate.