John Sorensen

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Results 2 issues of John Sorensen

Wrong Formula in Docs for Yang Zhang Volatility Estimator

The formula in the documentation for the Yang Zhang estimator is incorrect. My source is Volatility Trading chapter 2. Instead of the correct formula, the formula is the Rogers-Satchell formula...

Calendar Offsets Issue

1 comment

Dear Zipline Maintainers, I apologize if this is the wrong place to post this issue. I have already posted in on Stack Overflow but haven't gotten a response yet. I...