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Anthony,
they are *ALL* correct. There is no more a universal definition of
volatility, than there is of 'is it trending?'!!
Seriously, just pick one and use it. The actual values are less interesting
than the changes in them.
--
Nigel
On Tue, 15 Apr 2003 10:14 pm, Anthony Faragasso wrote:
> UM,
>
> Do we need another one !
>
> At the present I do not see the value of having 4 different formulas...each
> returning a different
> value....Which formula would be correct .....shouldn't that be what we are
> looking for....IMHO.
>
> Anthony
>
> -------Original Message-------
>
> From: amibroker@xxxxxxxxxxxxxxx
> Date: Tuesday, April 15, 2003 07:53:45
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Average price volatility in percent
>
> Here is another one:
>
> PercentVolatility = StDev(C,10) / MA(C,10) * 100;
>
> UM
>
> ----- Original Message -----
> From: "Anthony Faragasso" <ajf1111@xxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, April 15, 2003 1:36 PM
> Subject: RE: [amibroker] Average price volatility in percent
>
> > Chuck,
> >
> > checking your formulas you posted....they each return a different
> > value...
> >
> > So..what would the real value be for this **Average price volatility in
> > percent**....
> >
> > Filter=1;
> > PercentVolatility1 = StDev(Close,12) / Close * 100;
> > AddColumn(percentvolatility1,"PV1");
> > PercentVolatility2 = ATR(10) / Close * 100;
> > AddColumn(percentvolatility2,"PV1");
> > myAverage = MA(Close,10);
> > NonStdDev = HHV(abs(Close-myAverage),10);
> > PercentVolatility3 = NonStdDev / Close * 100;
> > AddColumn(percentvolatility3,"PV2");
> > Thankl you
> > Anthony
>
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