I want to stress again that the square root and log formulas are
from Jeff Grover and Bob Sage, and the Metastock formula from Jan
Robert Wolensky. I couldn't have begun this wretched thing without
them.
//AIQ Volatility Indicator, translated for QP2 by Brooke,
//with square root and log formulas by Jeff Grover and Bob Sage
//Metastock translation, Jan Robert Wolensky
//100*(Sqrt(12.5*
//(Sum((Log(C/Ref(C,-1))*Log(C/Ref(C,-1))),21)-
//((Sum(Log(C/Ref(C,-1)),21)*Sum(Log(C/Ref(C,-1)),21)))/21)))
//AIQ Volatility Indicator, translated for QP2 by Brooke
input="volvol.lst";
output="volatility.lst";
daystoload=500;
float x,xx,n,n3,n5,n7,n9,n11,n13,n15,lnx,sumlnx,sumlnxlnx,
sumlnxsumlnx,formula1,formula2,in,out,fx,xxx,period;
integer i,j;
period:=14;
sumlnx:=0;
sumlnxlnx:=0;
for i=-(period-1) to 0 step 1 do
x:=close(i)/close(i-1);
//Jeff Grover's log formula
if x >= 100000 then xx := x /100000; else
if x >= 10000 then xx := x / 10000; else
if x >= 1000 then xx := x / 1000; else
if x >= 100 then xx := x / 100; else
if x >= 10 then xx := x / 10; else
xx := x; endif; endif; endif; endif; endif;
n :=(xx-1)/(xx+1); n3 :=n*n*n; n5 :=n3*n*n;
n7 :=n5*n*n; n9 :=n7*n*n; n11 :=n9*n*n;
n13 :=n11*n*n; n15 :=n13*n*n;
lnx := 2*(n+n3/3+n5/5+n7/7+n9/9+n11/11+n13/13+n15/15); //Log(C/Ref(C,-1))
if x >= 100000 then lnx := lnx + 11.51293; else
if x >= 10000 then lnx := lnx + 9.21034; else
if x >= 1000 then lnx := lnx + 6.90776; else
if x >= 100 then lnx := lnx + 4.60517; else
if x >= 10 then lnx := lnx + 2.30258;
endif; endif; endif; endif; endif;
sumlnx:= sumlnx+lnx; //Sum(Log(C/Ref(C,-1)),21)
sumlnxlnx:=sumlnxlnx+(lnx*lnx); //Sum((Log(C/Ref(C,-1))*Log(C/Ref(C,-1))),21)
next i;
sumlnxsumlnx:=sumlnx*sumlnx; //((Sum(Log(C/Ref(C,-1)),21)*Sum(Log(C/Ref(C,-1)),21))
formula1:=sumlnxlnx-(sumlnxsumlnx/period); //( Sum((Log(C/Ref(C,-1))*Log(C/Ref(C,-1))),21) -
// ((Sum(Log(C/Ref(C,-1)),21)*Sum(Log(C/Ref(C,-1)),21)) )/21)
formula2:=12.5*formula1;
println symbol:-5, " ", "sumlnx: ", " ", sumlnx:10:5, " ",
"sumlnxlnx: ", " ", sumlnxlnx:10:5, " ",
"sumlnxsumlnx: ", " ", sumlnxsumlnx:10:5, " ",
"formula1: ", " ", formula1:10:5, " ",
"formula2: ", " ", formula2:10:5, " ",
symbol:-5;
//Jeff Grover's square root formula, with Bob Jagow
in := formula2;
xxx := 1.0;
fx := 1.0;
for j = 0 to 9 step 1 do
xxx := xxx - fx/(2*xxx);
fx := xxx*xxx - in;
next j;
out := xxx;
println symbol, ", ", "AIQ Volatility Indicator: ", " ", 100*out:6:2; |
