Volatility calculation in EWMAC rules

[kiratin]

Dear all,

I noticed that the ewmac_calc_vol function under the provided/rules folder takes price as the input and calculates the volatility using the robust_vol_calc function instead of robust_daily_vol_given_price function. That is inputing the price directly to the robust_vol_calc function. Is this a typo or am I missing something here?

Regards,
Serhat

[vishalg]

Do you mean standard deviation of the daily return vs standard deviation of the price? If yes - I think that is intentional, it used with the assettrend and normmom rules only where the input is normalised_price_for_asset_class and get_cumulative_daily_vol_normalised_returns. Maybe there is a case for renaming the function.

PS: maybe assettrend rules should use a version with robust_daily_vol_given_price instead.

[vishalg]

On further thoughts, this may be an error. @kiratin would you mind opening an issue?