Re: [amibroker] Average price volatility in percent

[uenal.mutlu@xxxxxxxxxxx]

Hi Chuck,
Very interessting statistical numbers.
Such percent numbers can also be useful
in comparing <FONT 
face=Arial>the volatility of multiple stocks.
Many thanks. 
UM
 
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  <A title=chuck_rademacher@xxxxxxxxxx 
  href="">Chuck Rademacher 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Tuesday, April 15, 2003 12:51 
  PM
  Subject: RE: [amibroker] Average price 
  volatility in percent
  
  <FONT face=Arial color=#0000ff 
  size=2>Several ways come to mind.  Examples based on ten-day 
  volatility:
  <FONT face=Arial color=#0000ff 
  size=2> 
  <FONT face=Arial color=#0000ff 
  size=2>Method A (written for understanding, not saving space in the 
  window):     
  <FONT face=Arial color=#0000ff 
  size=2> 
      <FONT face=Arial 
  color=#0000ff size=2>myAverage = MA(Close,10);
  <FONT face=Arial color=#0000ff 
  size=2>    NonStdDev = 
  HHV(abs(close-myAverage),10);
  <FONT face=Arial color=#0000ff 
  size=2>    PercentVolatility = NonStdDev / Close * 
  100;
  <FONT face=Arial color=#0000ff 
  size=2> 
  <FONT face=Arial color=#0000ff 
  size=2>Method B:
  <FONT face=Arial color=#0000ff 
  size=2> 
      <FONT face=Arial 
  color=#0000ff size=2>PercentVolatility = StDev(Close,10) / Close * 
  100;
  <FONT face=Arial color=#0000ff 
  size=2> 
  <FONT face=Arial color=#0000ff 
  size=2>Method C:
  <FONT face=Arial color=#0000ff 
  size=2> 
      <FONT face=Arial 
  color=#0000ff size=2>PercentVolatility = ATR(10) / Close * 
  100;
  <FONT face=Arial color=#0000ff 
  size=2> 
  That 
  should get you started.
  <BLOCKQUOTE 
  >
    <FONT face="Times New Roman" 
    size=2>-----Original Message-----From: uenal.mutlu@xxxxxxxxxxx 
    [mailto:uenal.mutlu@xxxxxxxxxxx]Sent: Tuesday, April 15, 2003 
    5:20 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: 
    [amibroker] Average price volatility in 
    percentHi,how would one compute an average 
    price volatilityover past x days on a percent basis for a stock? Any 
    formula?UM






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