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I prefer a simpler volatility measure, looking longer term than one day
trades
Here is what I use. I have a leaning towards oil/gas stocks. The liquididty
is prob much smaller than most would be used to using, but if I went for
large liquidities I would prob only get a few stocks that would not have the
volatility
//EXPLORATION FOR DAILY WATCHLIST
//SCAN ON QT WATCHLIST
//13 OCT 2003
//LIMITS
Period = IIf( SectorID()==1, 120, 240 );
MeanHigh = IIf( SectorID()==1, 2, 1 );
MeanLow = IIf( SectorID()==1, 0.05, 0.1 );
VolatLow = IIf( SectorID()==1, 30, 30 );
LiqLow = IIf( SectorID()==1, 10, 200 );
CloseHigh = IIf( SectorID()==1, 20, 1 );
CloseLow = IIf( SectorID()==1, 0, 0.2 );
LifeLow = BarCount >= IIf( SectorID()==1, 0, 2 )*Period;
ActivePerDays = IIf( SectorID()==1, 5, 120 );
//Base number of trading days during period
Vbase1 = Foreign( "CBA", "V" );
VCount1 = Sum( Vbase1 != 0, period );
Vbase2 = Foreign( "NCP", "V" );
VCount2 = Sum( Vbase2 != 0, period );
Vcount = Max( Vcount1, Vcount2 );
ActiveLow = (1-(period/ActivePerDays)/Vcount)*100 ;
//Ticker activity
Count = Sum(V!=0,period);
Active = Count/VCount*100;
//Liquidity
Price = Sum(C,period)/Vcount;
Trade = Sum(V,period)/Vcount;
Liquidity = price*trade/1000; //$'000
//Volatility
Range = HHV(C,period) - LLV(C,period);
Mean = (HHV(C,period)+LLV(C,period))*0.5;
Volat = Range/mean *100;
Requirements = Liquidity>=LiqLow AND Active>=ActiveLow AND Volat>VolatLow
AND Mean<MeanHigh AND Mean>MeanLow AND C>CloseLow AND C<CloseHigh AND
LifeLow;// AND SectorID()!=1 ;
Filter = Requirements;
SetOption("NoDefaultColumns",1);
AddTextColumn(Name(),"");
AddTextColumn(SectorID(1),"sector");
AddColumn(InWatchList(2),"wl",1);
Cheers,
Graham
http://groups.msn.com/ASXShareTrading
http://groups.msn.com/FMSAustralia
-----Original Message-----
From: Phsst [mailto:phsst@xxxxxxxxx]
Sent: Wednesday, 26 November 2003 2:35 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] StoRSI... was Re: Robustness
> That is simple, I think :)
> Liquidity and volatility are the major requirements
>
> Cheers,
> Graham
Graham & others,
Graham's comment inspired the following Explore for Liquidity and
Volatility. Click on Volatility columns for sorted order of volatility.
Notes follow:
//-----------------------------------------------
// Liquidity & Volatility
DailyDollarVolume = V * ( (O + H + L + C) / 4);
AvgDollarVolume = MA(DailyDollarVolume, 30);
topLiquid = IIf(LastValue(AvgDollarVolume > 100000000),1,0);
// The above $100,000,000 figure is for U.S. Mkts which selects about 160 of
the most active issues... modify for your own Mkts.
// Next four (4) from Chuck
//Method A (written for understanding, NOT saving space in the
window):
myAverage = MA(Close,10);
NonStdDev = HHV(abs(Close-myAverage),10);
APercentVolatility = NonStdDev / Close * 100;
//Method B:
BPercentVolatility = StDev(Close,10) / Close * 100;
//Method C:
CPercentVolatility = ATR(10) / Close * 100;
//Here is another one:
A1PercentVolatility = StDev(C,10) / MA(C,10) * 100;
// From Gosub
GM_Vol = (MA(ATR(14),5) / MA(((H+L)/2),14))*100;
// Hist Volatility from Pal
HistVolatility = 100 *StDev(log(C/Ref(C,-1)), 90) * sqrt(365);
/*
InstHldgs = GetExtraData("InstHolds");
Beta = GetExtraData("Beta");
PEG = GetExtraData("PEG");
QRS = GetExtraData("QRS");
IssueType = GetExtraData("IssueType");
*/
Filter = TopLiquid AND Status("LastBarinrange"); AddColumn(Close,"Close",
6.2); AddColumn(AvgDollarVolume,"AvgDollarVolume",10.0);
AddColumn(APercentVolatility,"A%V",1.2);
AddColumn(BPercentVolatility,"B%V",1.2);
AddColumn(CPercentVolatility,"C%V",1.2);
AddColumn(A1PercentVolatility,"A1%V",1.2);
AddColumn(GM_Vol,"GM_Vol",1.2); AddColumn(HistVolatility,"HistVol",1.2);
// ----------------------------------------
The above Explore includes six (6) different measurements of volatility as
posted by a few members of our group. My notes from their posts follow:
From: "Chuck Rademacher" <chuck_rademacher@xxxx>
Date: Tue Apr 15, 2003 5:51 am
Subject: RE: [amibroker] Average price volatility in percent
Several ways come to mind. Examples based on ten-day volatility:
Method A (written for understanding, not saving space in the window):
myAverage = MA(Close,10);
NonStdDev = HHV(abs(close-myAverage),10);
PercentVolatility = NonStdDev / Close * 100;
Method B:
PercentVolatility = StDev(Close,10) / Close * 100;
Method C:
PercentVolatility = ATR(10) / Close * 100;
Here is another one:
PercentVolatility = StDev(C,10) / MA(C,10) * 100;
-------------------------------------------------------
From: "gosub283" <gosub283@xxxxxxxxx>
Subject: 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);
-------------------------------------
And finally from Pal's post today:
HistVolatility = 100 *StdDev(log(C/Ref(C,-1)), Period) * SquareRoot
(365)
-------------------------------------
As you can see, I was a little bored tonight.
Regards,
Phsst
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