Re: [amibroker] Average price volatility in percent

[uenal.mutlu@xxxxxxxxxxx]

Hi all,
after having found some such formula, a
question arises about its correct interpretation: 

does this percent value mean that the
volatility to both sides together (up and down) is 

that much, or is it the value for 
one side only?
 
Say, I expect the stock drop tomorrow and
would like to subtract vola% from todays 
price
to build a hypotetical price for 
tomorrow. Which 
of the following methods should 
I take: 
  1 * vola%
  1/2 * vola%
  2 * vola%
 
UM
 
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  <A title=chuck_rademacher@xxxxxxxxxx 
  href="">Chuck Rademacher 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Tuesday, April 15, 2003 8:32 
  PM
  Subject: RE: [amibroker] Average price 
  volatility in percent
  <FONT 
  face=Arial><FONT 
  face=Arial>
  I 
  hope that they each give a different value.  Otherwise, I wouldn't have 
  provided three methods.   They are three DIFFERENT methods of 
  calculating volatility.   I have at least 25 more.  
  "Volatility" doesn't mean the same thing to everyone.    Some 
  system developers/traders think in terms of closing price only.   
  This would be especially true for people who trade mutual funds.   
  Others, want to incorporate the highs and the lows (ATR).   
  
  <FONT face=Arial color=#0000ff 
  size=2> 
  <FONT face=Arial color=#0000ff 
  size=2>Different strokes... for different folks!
  <FONT face=Arial color=#0000ff 
  size=2> 
  The 
  one I mentioned first is my "secret weapon".   Use it 
  sparingly!
  <BLOCKQUOTE 
  >
    <FONT face="Times New Roman" 
    size=2>-----Original Message-----From: Anthony Faragasso 
    [mailto:ajf1111@xxxxxxxx]Sent: Tuesday, April 15, 2003 7:36 
    AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: 
    [amibroker] Average price volatility in 
    percentChuck,checking your formulas you 
    posted....they each return a different value....So..what would the real 
    value be for this **Average price volatility 
    inpercent**....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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