Any advice on writing a good volatility calculation function?
I wrote a function to use (high-low)/high to get it. But it seems not so good.
def volatility(context, data, stock, days):
low = min(data.history(stock, 'low', days, '1d'))
high = max(data.history(stock, 'high', days, '1d'))
return (high-low)/high See the notebook here for some code and references:
https://www.quantopian.com/lectures/market-impact-models
See also:
http://www.todaysgroep.nl/media/236846/measuring_historic_volatility.pdf
Had trouble opening the pdf but I guess the same thing is available here:
https://dynamiproject.files.wordpress.com/2016/01/measuring_historic_volatility.pdf
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