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All or
none of your example might work well. You will only find this out
through experimentation (optimization).
<FONT face=Arial color=#0000ff
size=2>
You
would add vola% for a buy stop/level and subtract vola% for a sell
stop/level.
<FONT face=Arial color=#0000ff
size=2>
I would
start by using 2*vola% and test variations from there.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: uenal.mutlu@xxxxxxxxxxx
[mailto:uenal.mutlu@xxxxxxxxxxx]Sent: Wednesday, April 16, 2003
4:34 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] Average price volatility in percent
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>
<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 Send
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