If you use a charting application like TradeStation/Metastock etc you'll need to be able to load historical data in order to backtest your trading strategies. Yahoo provide free historical stock data for almost all stock indicies.
The trouble is knowing what components make up the index, when the index changes and having all that data in one place.
I've done this for you free of charge for the stock market indicies mentioned to the right.
All the data has already been backadjusted for dividends and stock splits so you won't see large irrelevant price gaps in the time series.
PeterOctober 8th, 2015 at 4:03am
It depdends on your view of volatility; if you think volatility only occurs on trading days or if you consider there enough volatility over the weekends to count the full year. I'd say most people consider only trading days at 256 but it is up to you.
caroljOctober 7th, 2015 at 6:10am
I'm a bit confused on whether to input 365 or 256 for the calendar year. Holding other inputs constant, 365 resulted in a higher volatility?
PeterMay 27th, 2015 at 8:02pm
Hi mustardjohn,
The data extracted from Yahoo! only grabs daily data so the values can only be for daily increments. The "Volatility Days" value determines how many lookback days you use in the calculations and the "Calendar Year" lets you decide if a full 365 days per year is used or allows you to change it to 256 trading days, for example.
For monthly calculations, you can use the spreadsheet as a template and insert your own monthly/weekly closing price values and perform the calculations again.
Hope this helps!
mustardjohnMay 22nd, 2015 at 4:52pm
I am using your volatility calculator in excel. My question is if I want daily or weekly or monthly volatility, what numbers do I put in the Calendar Year and Volatility Days cells to change between the three time periods.
PeterMarch 13th, 2012 at 5:03pm
Hi Capnmike,
1) Do you have the latest version of JRE? You can
download the latest version here;
JAVA JRE
2) While in Open Office, make sure you have "Executable Code"
checked in Tools -> Options -> Load/Save -> VBA Properties.
Try those couple of things and let me know how it goes.
CapnmikeMarch 13th, 2012 at 2:07pm
I am trying to use the Historical Volatility Calculator using OpenOffice Calc (OS=W7). When I click the "Extract Data" button I receive the following error message:
Type: com.sun.star.lang.IndexOutOfBoundsException Message: (with and OK button)
Any suggestions for resolving this problem? [email protected]
PeterFebruary 12th, 2012 at 5:14pm
Hi Kim,
The format of the data is;
Date, Open, High, Low, Close, Volume.
kimFebruary 11th, 2012 at 10:55am
what is the difference between the last two columns of the data on ftse100?
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