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Thanks John for the formula.
I just applied it to IBM and get close to 84%. That sounds pretty high
but turned on a light bulb.
I checked my library and found Ken Trester"s "The complete Option
Player, 3rd ed. and his video course. Here's a snip:
VOLATILTY= STOCK HIGH - STOCK LOW / stock high + stock low/2.
stock high = 12 Month high.
stock low = 12 Month low.
So If you want a 20 day historical volatility, you would take the 20 day
high and 20 day low and do the math. Notice there's no Std Dev or log
normal stuff involved just the actual prices. He considers historical
more accurate then implied.
Dominick
John wrote:
> John,
>
> Here is one that I use/
>
> Vol = StDev(log(C/Ref(C,-1)),6) / StDev(log(C/Ref(C,-1)),100);
> Plot(Vol,"Vol",1,1);
>
> Custom scale=0 & 2.0
> Show dates and Middle checked.
> When it reaches 1.5 hang on.
> John
> -- In amibroker@xxxxxxxxxxxxxxx, "john gibb" <jgibb1@xxxx> 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@xxxx>
> > 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
> > > >
> > > >
> > > >
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>
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