추세_Historical Volatility Meets Toby Crabel

//[필터] (6일 HV)<(100일 HV)*0.5, 전일ID 혹은 전일4NR
//[매수진입] 전일H
//- reversal system
//[출처] [book] STREET SMARTS

input : Period1(6),Period2(100);
var : HV1(0),Hv2(0),ID(False),NR4(False);

ID = H <= H[1] and L >= L[1];
NR4 = H-L == NthLowest(1,H-L,4);
hv1 = STD(log(C/C[1]),Period1)*SqRt(250)*100;
hv2 = STD(log(C/C[1]),Period2)*SqRt(250)*100;

if Hv1 < Hv2*0.5 and Id[1] == True and NR4[1] == True Then{
     if C >= H[1] Then
      buy();
     if C <= L[1] Then
      sell();
}