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Thanks, John.
When you say hang-on, what do you mean?
Do you subscribe to the volatility-will-revert-to-the-mean theory?
Thanks; as you probably know, rather than provide a single volatility
figure, your formula plots a ratio of the 7-period HV to the 101-period HV
and is similar to the one here:
http://www.amibroker.com/library/detail.php?id=115
In case anyone is interested, the Optionetics folks use an _annualized_
Historical/Statistical Volatility calculation, so it can be compared against
an annualized Implied Volatility. I am enclosing the Excel spreadsheet I
used to confirm the annualized calculations of in the Cajun5's 8 January
2004 8:55 post in this thread:
http://tinyurl.com/yt6eu
-john
----- Original Message -----
From: "John" <jea55129@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, January 08, 2004 11:19 AM
Subject: [amibroker] Re: Sammy Chua
> 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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Attachment:
HV_platinum_connor_raschke.xls
Attachment:
Description: "Description: MS-Excel spreadsheet"
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