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Hi UM,
Here's a volatility indicator I posted a few
weeks ago which plots the volatility
as a percentage of the close price over the
same period.
I also threw in a trigger line.
Hope this helps...
Gosub283
Description:
The standard Average True Range (ATR) indicator
is only usefull as a reference over the period
which it is set. As the stock price climbs or
drops significantly, previous ATR value are useless
when compared to current values. This makes it
impossible to set ATR thresholds in software systems.
The GM Volatility indicator divides the ATR value
by the average close price over the same period,
thereby showing range volatility as a percentage
of the average price regardless of time or $ value.
Values less than 3 are normal while value greater
than 4 indicate high daily volatility.
The GM_Volatility indic. is usefull at all times
and floats between 0 and approx.+10% regardless
of price change over time.
EG: A value of 2% means that the daily Low-to-High
fluctuates 2% of the average close price
over the last 14 days. (lower volatility)
A value of 7% means that the daily 'Low-to-High'
fluctuates 7% of the average close price
over the last 14 days. (Higher volatility)
*****************************************************/
GM_Vol = (MA(ATR(14),5) / MA(((H+L)/2),14))*100;
Graph0 = GM_Vol;
Graph1 = MA(GM_Vol,10);
--- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> Hi,
> how would one compute an average price volatility
> over past x days on a percent basis for a stock?
> Any formula?
> UM
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