|
PureBytes Links
Trading Reference Links
|
Hi Gosub283,
now I've an arsenal of such formula to play with.
Thanks to all.
UM
----- Original Message -----
From: "gosub283" <gosub283@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, April 15, 2003 8:33 PM
Subject: [amibroker] Re: Average price volatility in percent
> 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
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Make Money Online Auctions! Make $500.00 or We Will Give You Thirty Dollars for Trying!
http://us.click.yahoo.com/yMx78A/fNtFAA/i5gGAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send 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 http://docs.yahoo.com/info/terms/
|