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Volatility Arbitrage
Source: https://fxcodebase.com/code/viewtopic.php?f=38&t=61858
Forum: 38 · Topic 61858 · 1 post(s)
Volatility Arbitrage
Alexander.Gettinger · Mon Feb 23, 2015 11:12 am
Original LUA oscillator: viewtopic.php?f=17&t=61720.
Formulas: Top = StdDevMultiplier, Bottom = -1Top, where StdDev - Standard deviation(ROC) with [Length] number of periods, ROC[i] = 100*(Price[i]/Price[i-ROC_Length]-1).
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