Realized Variables for Options Comparison

2020年9月6日

These variables can be used in comparison with the implied volatility of options.

Variables:

Realized Volatility
mathematical notation lowercase 'sigma'

Realized Variance
mathematical notation lowercase 'sigma' squared

Realized Beta
mathematical notation lowercase 'beta'


Timeframes:
Yearly = 250 or 365
Quarterly = 50 or 90
Monthly = 20 or 30


Important Note:

Options Contract Expiry = barmerge.lookahead_on

"Merge strategy for the requested data position. Requested barset is merged with current barset in the order of sorting bars by their opening time. This merge strategy can lead to undesirable effect of getting data from "future" on calculation on history. This is unacceptable in backtesting strategies, but can be useful in indicators."

[All other timeframes barmerge.lookahead is disabled.

2020年9月6日

リリースノート

//update

2020年9月6日

リリースノート

//corrected indicator labels

2020年9月6日

リリースノート

//code clean-up