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Gosub,
Why do you take a 5-period moving average of a 14-period ATR? Why not simply use the following code:
GM_Vol = 100*MA(ATR(1),14)/MA(((H+L)/2),14);Graph0 = GM_Vol;Graph1 = MA(GM_Vol,10);
or:
GM_Vol = 100*ATR(14)/MA(((H+L)/2),14);Graph0 = GM_Vol;Graph1 = MA(GM_Vol,10);
Al Venosagosub283 <gosub283@xxxxxxxxx> wrote:
Hi UM,Here's a volatility indicator I posted a fewweeks ago which plots the volatilityas a percentage of the close price over thesame period.I also threw in a trigger line.Hope this helps...Gosub283Description:The standard Average True Range (ATR) indicatoris only usefull as a reference over the periodwhich it is set. As the stock price climbs ordrops significantly, previous ATR value are uselesswhen compared to current values. This makes itimpossible to set ATR thresholds in software systems.The GM Volatility indicator divides the ATR valueby the average close price over the same period,thereby showing range volatility as a percentageof the average price regardless of time or $ value.Values less than 3 are normal while value greaterthan 4 indicate high daily volatility.The GM_Volatility indic. is usefull at all timesand floats between 0 and approx.+10% regardlessof 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?> UMSend BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to suggest@xxxxxxxxxxxxx-----------------------------------------Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service. Al Venosaavcinci@xxxxxxxxxDo you Yahoo!?
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