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Hi Al,
The 5 period MA on the ATR was to apply a bit
of smoothing.
In essence, I'm comparing an average of the
closing price to an average of the ATR.
When plotted and viewed over "medium" time periods
(eg: 20 to 30 days) the smoothing does not
hinder the outcome. This indicator was used to visually
gauge how ATR changes in realtion to price over a
considerable time period. (like a couple of years).
I found that stocks with a consistently low value
on my charts were a bit more "efficient" and tradeable.
Gosub283
--- In amibroker@xxxxxxxxxxxxxxx, Al Venosa <avcinci@xxxx> wrote:
> 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 Venosa
>
>
> gosub283 <gosub283@xxxx> wrote:
> 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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>
> Al Venosa
> avcinci@xxxx
>
>
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