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Hi John:
I admit they're confusing. I have a few volatility formulas and the
results are all different. I just copy other peoples formulas.
1--(StDev(log(C/Ref(C,-1)),30)/ StDev(log(C/Ref(C,-1)),252))*100 ;
2--(HHV(High,199)-LLV(Low,199))/((HHV(High,200)+LLV(Low,199))/2)*100;
3--LookBackVolume=50;
// the line below should be adjusted depending on
// data source you are using
// !VIX is for Quotes Plus database
// ^VIX is for Yahoo (AmiQuote)
CurrentIV = Foreign("!VIX", "C");
LowestIV = LLV( CurrentIV, LookbackIV );
HighestIV = HHV( CurrentIV, LookbackIV );
AvgVolume = MA( Volume, 10 );
LowestVolume = LLV( Volume, LookbackVolume );
HighestVolume = HHV( Volume, LookbackVolume );
RangeIV = HighestIV - LowestIV;
RangeVolume = HighestVolume - LowestVolume;
DayLengthLong = int( RefLength1 - 0.5 * RefLength2
* Nz( ( CurrentIV - LowestIV )/RangeIV +
( AvgVolume - LowestVolume )/RangeVolume, 1 ) );
DayLengthShort = int( RefLength1 - 0.5 * RefLength2
* Nz( ( HighestIV - CurrentIV )/RangeIV +
( HighestVolume - AvgVolume )/RangeVolume, 1 ) );
SetTradeDelays( 1, 1, 1, 1 );
BuyPrice = SellPrice = ShortPrice = CoverPrice = Open;
Buy = High > HHV( Ref( High, -1 ), DayLengthLong );
Sell = Low < LLV( Ref( Low, -1 ), DayLengthShort );
Short = Sell;
Cover = Buy;
Take your pick. :))
Dominick
john gibb wrote:
> Hi Dominick,
>
> Your formula seems to give drastically different results from the one
> implied at:
>
> http://www.amibroker.com/library/detail.php?id=115
>
> which is, I believe:
>
> StDev(Log(C/Ref(C,-1)),199)
>
> For example, on IBM, yours gives 42.15 whereas the library version gives
> .0286
>
> Can anyone help reconcile these figures?
>
> thanks
>
> -john
>
>
> ----- Original Message -----
> From: "Dominick" <Dom2000@xxxxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, January 07, 2004 5:45 PM
> Subject: Re: [amibroker] Sammy Chua
>
>
> > The formula would be a historical volatilty. Here's a good one:
> >
> > V=(HHV(High,200)-LLV(Low,200))/((HHV(High,200)+LLV(Low,200))/2)*100;
> > Graph0=V;
> >
> > Dominick
> >
> >
> > Dave Merrill wrote:
> > > Just wondering about how volatility is expressed in percent.
> > >
> > > Dave
> > >
> > > I imagine it's a volatile stock so an ATR or Std Dev formula would
> > > apply.
> > >
> > > Dominick
> > >
> > > Dave Merrill wrote:
> > >
> > > > What does "80% Volatility" mean, in AFL terms?
> > > >
> > > > Dave
> > > >
> > > > I got this in one of my emails in case anyone is interested:
> > > >
> > > > For those who wnted to know Sammy Chua's long setup fo
> trading:
> > > > $20.00 or Above:
> > > > NASDAQ stock
> > > > 80% Volatility
> > > > 10 EMA > 20 EMA AND 20EMA > 50EMA:
> > > > AND 3 DAY PULLBACK there after visual scan for reversal
> > > Candlestick
> > > > pattern,
> > > > Has to be a poitive day
> > > > entry above previous day high or after 30 min. breakout
> > > > Don't enter between 10:40-10:50 Reversal time
> > > >
> > > > Dominick
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> > > Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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