Suoranta.Finance Namespace
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Suoranta.Finance - Developer API

Volatility..::..RogersSatchell Method

Rogers-Satchell volatility estimator

Namespace:  Suoranta.Finance
Assembly:  Suoranta.Finance (in Suoranta.Finance.dll)

Syntax

public double[] RogersSatchell(
	int barCount,
	bool leftSided
)

Parameters

barCount
Type: Int32
Length of the rolling value sample in bars.
leftSided
Type: Boolean
Use only past data in the estimate

Return Value

Estimate per bar in time units

Remarks

Minimum bar count is 6. Result indices 0 to 4 are left to zero. Indices 5 to barCount - 2 are calculated with the actual number of available bars. From barCount - 1, calculation proceeds normally. If OHLC values are missing, the result is adjusted for the actual number of bars.

See Also

Volatility Class
Suoranta.Finance Namespace