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Hi Jayson & Ron,
Wednesday, June 25, 2003, 10:28:51 PM, you wrote:
J> Or better yet........ as a percentage of the "Normal" ATR. For
J> instance I monitor during the day the percentage of the ATR(1) as
J> compared to the ATR(14) by using the code. This also compares
J> today's Vol to its own 50 day Vol......
I look at the relationships between the previous day's range and
ATR(2), (16) and (50) as well to try and gauge consolidation (looking
for volatility breakout candidates).
How did I happen to settle on those look back periods? Lots of "over
optimization". <rotfl>
Best,
Yuki
mailto:yukitaga@xxxxxxxxxxxxx
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