volatility, page-9

  1. 1,047 Posts.
    My formula is a bit different to what you are explaining

    Firstly my formula calculates the standard deviation for a given back test period. And then applies a series of calculations to account for the daily sampling rate, and then a simple moving average filter on top of all this.

    The concept you are putting forward doesn't, include standard deviation. Pretty significant difference, as it pertains a reference to annualised variance in place of the standard deviation.

    Annualising everything does make for easy calculations but takes away from the fexibility of the formula.

    I'm not concerned either way honestly, if it works for you great,!

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