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These formulas are measures of historical volatility for different
time periods, 720 bars, 20 bars, 50 bars, etc. Mostly I've seen them
used in option-pricing, but they can have other uses.
S.
--- In amibroker@xxxxxxxxxxxxxxx, "Dan Clark" <dan_public@xxxx> wrote:
> Jason,
>
>
>
> Another question. I understand that the code below computes the
Standard
> Deviation. However, I don't understand how this relates to other
> measures. Which measure is this related to?
>
>
>
> Thanks and regards,
>
>
>
> Dan.
>
>
>
>
>
> vol1 = StDev(log(C/Ref(C,-1)),720) * sqrt(260)*100;
>
> vol2 = StDev(log(C/Ref(C,-1)),20) * sqrt(260)*100;
>
> vol3 = StDev(log(C/Ref(C,-1)),50) * sqrt(260)*100;
>
> vol4 = StDev(log(C/Ref(C,-1)),90) * sqrt(260)*100;
>
> Vol5 = (Vol2 + Vol3+ Vol4)/3;
>
> Vol6 = Vol5-Vol1;
>
>
>
>
>
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of Dan Clark
> Sent: Sunday, July 17, 2005 9:12 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Question on RS, possibly for Tomasz
>
>
>
> Jason,
>
>
>
> I'm still wading through your code. There's LOTS of good material
here.
> I've been able to figure out most of your code. However, I'm
confused about
> this code:
>
>
>
> b = 1041231;
>
> a=DateNum()==b;
>
> i = ValueWhen(a,C);
>
> ii = ((C-i)/i)*100;
>
>
>
> b appears to be the number representing the quotation date for the
last day
> of 2004. And, "i" appears to the value at the end of last year.
And, "ii"
> appears to be the YTD% change for 2005. But.
>
>
>
> "a=DateNum()==b" throws me. What does the ".DateNum()==b" portion
mean?
>
>
>
> Thanks and regards,
>
>
>
> Dan.
>
>
>
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of Jason Hart
> Sent: Wednesday, July 13, 2005 9:21 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Question on RS, possibly for Tomasz
>
>
>
> Dan,
>
> The full code is listed below. This is a "dashboard" so to speak
of what
> the different sectors are doing, a top down look. I'm more of a
top down
> investor vs bottom up so this fits my style better. What I
typically do is
> run it against an ETF watchlist of about 150 different ETFs and
then I'll
> also run it against a WL that has 450 of my favorite mutual funds.
>
> This is more of a rotational trading tool. I don't use this
exploration
> with individual stocks, I think it is more useful for ETFs and
funds. What
> I'll try to do with this code is to invest in 3-5 ETFs/Funds that
are in the
> top 25% in terms of strength. However, if you want more octane and
less
> diversification, you can also see which sector funds/ETFs are the
strongest
> and buy the individual stocks that these funds hold.
>
> The code is still a work in progress but I'll explain what some of
the
> outputs are. The first column "TotalB" is derived from differing
ROC
> periods and where the ETF is trading relative to different MAs. If
it is
> trading above MAs it gets more points and vice versa. I was
comparing it to
> other indicators and it is very similar to Martin Pring's "KST"
indicator.
>
> RSC is similar to TotalB but it incorporates some other momentum
components
> into the ranking. I'm still working on this one
>
> "B -10" is what the TotalB was 10 days ago and the "difference"
column is
> the difference between the two columns. What I look for in the
difference
> column is maybe some bottom feeding opportunities where there is a
big swing
> in the score of an ETF that has been struggling. I haven't looked
into how
> effective this is in great detail. A current example is the BHH
ETF but I'm
> not to keen on the sector.
>
> Then the RS columns list current RS, RS 10 days ago and RS 20 days
ago. If
> the RS is greater than the previous n periods it is green and if
the RS is
> lower then it is RED.
>
> "ST SD" is a shorter term measure of standard deviation and then
the "hist
> SD" is the short term less the historical StDev. Thus, if you get a
> negative value in the "hist SD" column then the security is trading
at a
> lower volatility level relative to its historical average. I like
these two
> columns b/c they can help determine your asset weightings. Say you
have two
> investment candidates: security one with a SD over 30 and the
second at a SD
> of 15.....then you can weight your decisions based on how much
octane you
> want. If you want less octane you could do a 75% / 25% security2 /
security
> 1 weighting. Or if you want more octane have a greater weighting in
> security 1 with the 30 SD.
>
> The ROC columns are for visual purposes and can help you quickly
determine
> how strong a stock is. If all three ROC columns are green then the
security
> is strong. What I do here is look at the shorter term ROC. Say
the longer
> term ROCs are green but the shorter term ROC is yellow or Red then
that
> could be an indication that the current trend is weakening or there
is a
> change in trend altogether on the horizon.....then the opposite is
true. If
> LT ROCs are red but the ST ROC is yellow or green then it is
showing ST
> strength and it could be reversing.
>
> YTD, 30D%, 10d%, etc are the % change for those periods
>
> SPX and Nasdaq columns are the securities correlation to the S&P
500 and
> Nasdaq composite
>
> Finally EMA 170 & 50: shows if the security is rising relative to
its 170
> and 50 day MAs. If it is 1 then it is rising, if it is 0 then the
stock is
> falling relative to these MAs.
>
> I think I got it all covered. Like I said this is still a work in
progress
> and would appreciate any feedback. The first few columns of the
exploration
> are all relatively the same. What I would like to do is
incorporate some
> sort of ranking in this scan the uses a combination of the three
outputs. I
> haven't figured out the ranking part yet. I saw the "osaka plug
in /
> ranking" posts from last week but I haven't had time to work with
them yet.
>
> Jason
>
> _______________________________
>
> //Filter=Cross(PDI(14),MDI(14)) AND StochD(14) < 50;
>
> Filter = C > 0;
>
> a= MA(ROC(C,5),5);
>
> a1 = MA(ROC(C,10),5);
>
> a2= MA(ROC(C,20),5);
>
> a3=MA(ROC(C,50),5);
>
> a4=MA(ROC(C,100),5);
>
> a5 = MA(ROC(C,200),5);
>
> aa = Ref(MA(ROC(C,5),5),-5);
>
> aa1 = Ref(MA(ROC(C,10),5),-5);
>
> aa2 = Ref(MA(ROC(C,20),5),-5);
>
> aa3 = Ref(MA(ROC(C,50),5),-5);
>
> aa4 = Ref(MA(ROC(C,100),5),-5);
>
> aa5 = Ref(MA(ROC(C,200),5),-5);
>
> ab = Ref(MA(ROC(C,5),5),-10);
>
> ab1 = Ref(MA(ROC(C,10),5),-10);
>
> ab2 = Ref(MA(ROC(C,20),5),-10);
>
> ab3 = Ref(MA(ROC(C,50),5),-10);
>
> ab4 = Ref(MA(ROC(C,100),5),-10);
>
> ab5= Ref(MA(ROC(C,200),5),-10);
>
>
>
> x0 = (a+aa+ab)*.35;
>
> x1 = (a1+aa1+ab1)*.65;
>
> x2 = (a2+aa2+ab2)*(1.65);
>
> x3 = (a3+aa3+ab3)*(1.75);
>
> x4 = (a4+aa4+ab4)*(1.5);
>
> x5 = (a5+aa5+ab5)*(.65);
>
> b = (C - MA(C,20))/C;
>
> b1 = (C-MA(C,50))/C;
>
> b2 = (C-MA(C,100))/C;
>
> b3 = (C-MA(C,200))/C;
>
> bb = (b*1.7)*100;
>
> bb1 = (b1*2.0)*100;
>
> bb2 = (b2*1.2)*100;
>
> bb3 = (b3*(1.2))*100;
>
> z = x0+x1+x2+x3+x4+x5+bb+bb1+bb2+bb3;
>
> b = 1041231;
>
> a=DateNum()==b;
>
> i=ValueWhen(a,C);
>
> ii = ((C-i)/i)*100;
>
> week = ((C - Ref(C,-5))/ Ref(C,-5))*100;
>
> Mth = ((C- Ref(C,-30))/Ref(C,-30))*100;
>
> tenday = ((C - Ref(C,-10))/Ref(C,-10))*100;
>
> Oneday = ((C - Ref(C,-1))/Ref(C,-1))*100;
>
> j = Foreign("!spx", "c");
>
> j1 = RelStrength("!spx");
>
> j2 = RelStrength("!spx")/Ref(j1,-20);
>
> j3 = RelStrength("!spx")/Ref(j1,-30);
>
> j4 = RelStrength("!spx")/Ref(j1,-50);
>
> j5 = RelStrength("!spx")/Ref(j1,-100);
>
> j6 = RelStrength("!spx")/Ref(j1,-120);
>
> j7 = RelStrength("!spx")/Ref(j1,-150);
>
> j8 = RelStrength("!spx")/Ref(j1,-200);
>
> mamPeriod = 13;
>
> mam = 100*(Close/MA(Close, (2*mamPeriod) +1) -1);
>
> mom= MA(MAm,5)*100;
>
> vol1 = StDev(log(C/Ref(C,-1)),720) * sqrt(260)*100;
>
> vol2 = StDev(log(C/Ref(C,-1)),20) * sqrt(260)*100;
>
> vol3 = StDev(log(C/Ref(C,-1)),50) * sqrt(260)*100;
>
> vol4 = StDev(log(C/Ref(C,-1)),90) * sqrt(260)*100;
>
> Vol5 = (Vol2 + Vol3+ Vol4)/3;
>
> Vol6 = Vol5-Vol1;
>
> Final = (j2*1) + (j3*1.2) + (j4*1.3)+(j5*1.4) + (j6*1.5) + (j7*1.7)
+
> (j8*1.7);
>
> Combined = (.50*final)+(.5*z);
>
> CombinedI= (.35*final)+(.35*z)+(.3*mom);
>
> CombinedII=MA(CombinedI,25);
>
> //Filter = CombinedI > CombinedII AND Cross(PDI(14),MDI(14)) AND z-
Ref(z,-5)
> > 20;
>
> //Filter = final > 10 AND Cross(PDI(14),MDI(14));
>
> PositionSize = -25;
>
> Buy = final > 10 AND Cross(PDI(14),MDI(14)) AND z-Ref(z,-10) > 15
AND
> ADX(14) > Ref(ADX(14),-5);
>
> Sell = Cross(MDI(14),PDI(14)) OR Cross(Signal(),MACD());
>
> ApplyStop( stopTypeNBar, stopModeBars, 70, True );
>
> AddTextColumn(FullName(),"Name",5);
>
> ro11 = MA(ROC(C,20),10);
>
> ro1 = MA(ROC(C,50),10);
>
> ro2 = MA(ROC(C,120),10);
>
> AddColumn(z,"TotalB");
>
> AddColumn(CombinedII,"RSC");
>
> AddColumn(Ref(z,-10), "B -10 dys");
>
> AddColumn(z-Ref(z,-10), "difference");
>
> AddColumn(final,"RS",1.2,colorDefault,IIf(final==0,colorBlue,IIf
(final>=Ref(
> final,-10),colorGreen,colorRed)));
>
> AddColumn(Ref(final,-10),"10
> days",1.2,colorDefault,IIf(final==0,colorBlue,IIf(Ref(final,-10)
>=Ref(final,
> -20),colorGreen,colorRed)));
>
> AddColumn(Ref(final,-20),"20
> days",1.2,colorDefault,IIf(final==0,colorBlue,IIf(Ref(final,-20)
>=Ref(final,
> -30),colorGreen,colorRed)));
>
> AddColumn(Vol5,"ST SD");
>
> AddColumn(vol6,"Hist SD");
>
> AddColumn(ro11, "ROC20",1.2,colorDefault,IIf(ro11>0 AND
> ro11<5,colorYellow,IIf(ro11 > 5 ,colorGreen,colorRed)));
>
> AddColumn(ro1, "ROC50",1.2,colorDefault,IIf(ro1>0 AND
> ro1<5,colorYellow,IIf(ro1 > 5 ,colorGreen,colorRed)));
>
> AddColumn(ro2, "ROC120",1.2,colorDefault,IIf(ro2>0 AND ro2<5
> ,colorYellow,IIf(ro2 > 5 ,colorGreen,colorRed)));
>
> AddColumn(ii, "YTD%",1.2,colorDefault,IIf(ii>
0 ,colorGreen,colorRed));
>
> AddColumn(Mth, "30d %",1.2,colorDefault,IIf(Mth>
0 ,colorGreen,colorRed));
>
> AddColumn(tenday, "10d %",1.2,colorDefault,IIf(tenday > 0.005 AND
tenday <
> 0.009 ,colorYellow,IIf(tenday > 0 ,colorGreen,colorRed)));
>
> AddColumn(week, "5d %",1.2,colorDefault,IIf(week > 0.005 AND week <
0.009
> ,colorYellow,IIf(week > 0 ,colorGreen,colorRed)));
>
> AddColumn(oneDay, "1d %",1.2,colorDefault,IIf(oneDay > 0.005 AND
oneDay <
> 0.009 ,colorYellow,IIf(oneDay > 0 ,colorGreen,colorRed)));
>
> RS1=Foreign("!spx","C");
>
> RS2 = Foreign("!comp","C");
>
> Corr1 = ROC(RS1,1);
>
> Corr2 = ROC(C,1);
>
> Corr3 = ROC(RS2,1);
>
> Corr4 = ROC(C,1);
>
> test=Correlation(corr1,Corr2,20);
>
> test1=Correlation(Corr3,Corr4,30);
>
> test=Correlation(Corr1,Corr2,125);
>
> test1=Correlation(Corr3,Corr4,125);
>
> AddColumn(test,"SPX");
>
> AddColumn(test1,"Nasdaq");
>
> rising = EMA(C,170) > Ref(EMA(C,170),-47);
>
> rising1 = EMA(C,50) > Ref(EMA(C,50),-25);
>
> rising ==1;
>
> rising1==1;
>
> AddColumn(rising,"ema 170");
>
> AddColumn(rising1,"ema 50");
>
>
>
>
>
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> To get support from AmiBroker please send an e-mail directly to
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>
>
>
>
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