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<DIV><FONT color=#000000 size=2>-Below find some old mails on the VIX and on the
other Volatiliy Indexes subjects. </FONT><FONT size=2>The TASC articles can be
obtained from</FONT></DIV>
<DIV><FONT size=2></FONT><B><FONT color=#ff0000><FONT size=+1>S</FONT>TOCKS
& <FONT size=+1>C</FONT>OMMODITIES</FONT></B> <FONT
size=2>http://www.traders.com
or email <A
href="mailto:editors@xxxxxxxxxxx";>editors@xxxxxxxxxxx</A></FONT></DIV>
<DIV><FONT color=#000000 size=2>(attached from their library-index is the
"1995 Articles List" with some brief introductions)</FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT> </DIV>
<DIV><FONT size=2>-In MS you can reference other indicators using the
"P" function (MS65-Manual p. 213)</FONT></DIV>
<DIV><FONT size=2> and also creating Composites from 2
securities(DL-manual p.36)</FONT></DIV>
<DIV><FONT size=2></FONT> </DIV>
<DIV><FONT size=2></FONT><FONT color=#000000 size=2>Regards,</FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT><FONT size=2>Ton Maas</FONT></DIV>
<DIV><FONT size=2><A
href="mailto:Ms-IRB@xxxxxxxxx";>Ms-IRB@xxxxxxxxx</A></FONT></DIV>
<DIV><FONT size=2></FONT> </DIV>
<DIV><FONT size=2>Below are the "older" mails.</FONT></DIV>
<DIV><FONT
size=2>============================================================ </FONT></DIV>
<DIV> </DIV>
<DIV> </DIV>
<DIV>Is this what you are looking for? The 100*33*2 is just a scale factor
for<BR>plotting purposes. Let me know if you still need the article
faxed.<BR><BR>BobR<BR><BR>--------------------------------------------------------------------------------------------------<BR>At
11:17 AM 12/23/97 -0600, Lionel Issen wrote:<BR>>I went to the Equis web
site, I could not find any indicator with the name<BR>>VIX. What is the full
name of this indicator, and what do the lettes
VIX<BR>mean.<BR>><BR>>Lionel<BR>><BR>>At 10:14 AM 12/23/97 -0500,
Gitanshu Buch wrote:
<BR>>>>>><BR>>>Hello,<BR>>> <BR>>>I'm
trying to understand how to interpret Modified VIX numerically,
since<BR>>>I don't have access to the TASC April 1995 article. The formula
I have<BR>>>from the Metastock website is as follows:<BR>>>
<BR>>>(((P -
Mov(P,15,E))/Mov(P,15,E))*(100*33*2))*(Sqrt(252)/Sqrt(15)/C)<BR>>>
<BR>>>This implies the foll:<BR>>> <BR>>>1. Difference
between today's VIX indicator value and 15 period<BR>>>exponential moving
average of VIX is divided by the 15 period EMA of the<BR>VIX.<BR>>>2. The
quotient is multiplied by 100 (probably a percentage function),<BR>>>then
by 33 (what would this be? and by 2 (again, what would this be?)<BR>>>3.
Sqrt 252 and Sqrt 15 are calculations for deviations around
mean<BR>>>values of VIX and the 15 period EMA; these are divided by
today's closing<BR>>>value of OEX.<BR>>> <BR>>>2 is
multiplied by 3.<BR>>> <BR>>>I would appreciate if someone
could help out here, either email a<BR>>>clarification or fax the article
@ 212-594-1913.<BR>>> <BR>>>Thanks a lot!<BR>>>
<BR>>>Gitanshu Buch<BR>>><<A
href="mailto:OnWingsofEagles@xxxxxxxxxxxxx";>mailto:OnWingsofEagles@xxxxxxxxxxxxx</A>><A
href="mailto:OnWingsofEagles@xxxxxxxxxxxxx";>OnWingsofEagles@xxxxxxxxxxxxx</A><BR>>>
<BR>==============================================================</DIV>
<DIV><BR>Wilder's Volatility<BR><BR>rev. 01/06/97<BR><BR>In his book New
Concepts in Technical Trading Systems, J. Welles Wilder Jr.<BR>talks about
volatility and describes his Volatility Index and Volatility<BR>System. Both of
these can be performed in MetaStock™ for Windows version<BR>6.0. This document
describes how to construct both the index and the<BR>system.<BR><BR>The
Volatility Index (VI) is described by Wilder as:<BR><BR>VI Today = (13 * VI Prev
+ TR1) / 14 *where TR1 is today's true range.<BR><BR>He defines the true range
as the greatest of the following:<BR><BR> 1. The distance from today's
high to today's low<BR> 2. The distance from yesterday's close to today's
high, or<BR> 3. The distance from yesterday's close to today's
low.<BR><BR>In MetaStock version 6.0 or higher you would use the Prev function
and a<BR>one period Average True Range to construct the Volatility Index. The
custom<BR>formula is written as:<BR><BR>VI Today = (13 * Prev + ATR(1)) /
14<BR>=========================================================<BR>Relative
Volatility Index (RVI)<BR><BR>rev. 01/06/97<BR><BR>The following formulas were
taken from the article "The relative volatility<BR>index," written by
Dorsey, Donald, in the June 93 issue of Technical<BR>Analysis of STOCKS &
COMMODITIES.<BR><BR>Taken from Stocks & Commodities, V. 11:6 (253-256): The
Relative Volatility<BR>Index by Donald Dorsey<BR><BR>"The RVI is simply the
relative strength index (RSI) with the standard<BR>deviation over the past 10
days used in place of daily price change.<BR>Because most indicators use price
change for their calculations, we need a<BR>confirming indicator that uses a
different measurement to interpret market<BR>strength. The RVI measures the
direction of volatility on a scale of zero<BR>to 100. Readings above 50 indicate
that the volatility as measured by the<BR>10-day standard deviation of the
closing prices is more to the upside.<BR>Readings below 50 indicate that the
direction of volatility is to the<BR>downside. The initial testing indicates
that the RVI can be used wherever<BR>you might use the RSI and in the same way,
but the specific purpose of this<BR>study is to measure the RVI's performance as
a confirming indicator."<BR><BR>The RVI was designed to measure the
direction of volatility. It calculates<BR>price strength by measuring volatility
rather than price change.<BR><BR>All of the following formulas are
required:<BR><BR>@RVI
Down<BR><BR>((PREV*13)+If(ROC(C,1,%)<0,Stdev(C,10),0))/14<BR><BR>@RVI
Up<BR><BR>((PREV*13)+If(ROC(C,1,%)>0,Stdev(C,10),0))/14<BR><BR>@RVI<BR><BR>(100*Fml("@RVI
Up"))/(Fml("@RVI Up")+Fml("@RVI
Down"))<BR><BR><BR>============================================================<BR>Natenberg's
Volatility<BR><BR>rev. 01/21/97<BR><BR>Historical volatility is defined by
Sheldon Natenberg, as the standard<BR>deviation of the logarithmic price changes
measured at regular intervals of<BR>time. In Mr. Natenberg's book, Option
Volatility & Pricing, he covers<BR>volatility in detail and gives the
formula for computing historical<BR>volatility. In MetaStock&trade; the
equivalent formula would be:<BR><BR>Std( Log( C / Ref( C ,-1 ) ) ,10 ) * Sqrt(
365 / 7 )<BR><BR>This assumes Weekly Data. To utilize this with Daily Data, the
formula<BR>would be:<BR><BR>Std( Log( C / Ref( C,-1) ),10 ) * Sqrt( 365
)<BR><BR>For further interpretation refer to the book Option Volatility &
Pricing,<BR>by Sheldon
Natenberg.<BR><BR>============================================================<BR>Historical
Volatility Daily<BR><BR>rev. 01/21/97<BR><BR>With MetaStock&trade; for
Windows, you can easily plot the 10 and 100 day<BR>Historical Volatility. First
use the Indicator Builder to enter the<BR>following Custom
indicators:<BR><BR>Historical Volatility 10
day<BR>Std(Log(C/Ref(C,-1)),10)*Sqrt(365)*100<BR><BR>Historical Volatility 100
day<BR>Std(Log(C/Ref(C,-1)),100)*Sqrt(365)*100<BR><BR>Next plot both indicators
in the same inner window. If the Scaling Options<BR>dialog appears, choose the
Merge with Scale on Right (or left) option.<BR><BR>I find it easier to see the
Historical Volatility signals by combining the<BR>10 and 100 day indicators into
the following indicator.<BR><BR>Historical Volatility
Indicator<BR>Std(Log(C/Ref(C,-1)),10)/Std(Log(C/Ref(C,-1)),100)<BR><BR>Plot this
indicator in MetaStock for Windows, then click your mouse button<BR>on the
indicator. Choose Historical Volatility Indicator Properties and<BR>then choose
the Horizontal Lines page. Add a horizontal line at .5 and then<BR>choose the OK
button. You now know the 10 period volatility is less than<BR>half the 100
period volatility anytime this indicator crosses below its<BR>horizontal
line.<BR><BR>To test trading systems using this indicator it would he helpful to
use the<BR>alert function along with a trend following indicator, such as
the<BR>following example:<BR><BR>Enter Long: Cross(CLOSE,Mov(C,20,E)) AND
Alert(Fml("Historical Volatility<BR>Indicator")<=5,10)<BR><BR>Enter
Short: Cross(Mov(C,20,E),CLOSE) AND Alert(Fml("Historical
Volatility<BR>Indicator")<=5,10)<BR><BR>This system will enter a long
trade when the close has crossed above its 20<BR>day moving average, and when
Historical Volatility Indicator was .5 or<BR>lower within the last 10 days. The
system will sell when the close crosses<BR>below its 20 day moving average, and
when Historical Volatility Indicator<BR>was .5 or lower within the last 10 days.
Use any indicator you would like,<BR>this just provides a basic example of how
to use this indicator in a
system<BR>test<BR>===============================================================<BR>Historical
Volatility Weekly<BR><BR>rev. 01/21/97<BR><BR>With MetaStock&trade; for
Windows, you can easily plot the 10 and 100 week<BR>Historical Volatility. First
use the Indicator Builder to enter the<BR>following Custom
indicators:<BR><BR>Historical Volatility 10
week<BR>Std(Log(C/Ref(C,-1)),10)*Sqrt(365/7)*100<BR><BR>Historical Volatility
100 week<BR>Std(Log(C/Ref(C,-l)),100)*Sqrt(365/7)*100<BR><BR>Next plot both
indicators in the same inner window. If the Scaling Options<BR>dialog appears,
choose the Merge with Scale on Right (or left) option.<BR><BR>I find it easier
to see the Historical Volatility signals by combining the<BR>10 and 100 week
indicators into the following indicator.<BR><BR>Historical Volatility
Indicator<BR>Std(Log(C/Ref(C,-1)),10)/Std(Log(C/Ref(C,-1)),100)<BR><BR>Plot this
indicator in MetaStock for Windows, then click your mouse button<BR>on the
indicator. Choose Historical Volatility Indicator Properties and<BR>then choose
the Horizontal Lines page. Add a horizontal line at .5 and then<BR>choose the OK
button. You now know the 10 period volatility is less than<BR>half the 100
period volatility anytime this indicator crosses below its<BR>horizontal
line.<BR><BR>To test trading systems using this indicator it would he helpful to
use the<BR>alert function along with a trend following indicator, such as
the<BR>following example:<BR><BR>Enter Long: Cross(CLOSE,Mov(C,20,E)) AND
Alert(FmI("Historical Volatility<BR>Indicator")<=5,10)<BR><BR>Enter
Short: Cross(Mov(C,20,E),CLOSE) AND Alert(Fml("Historical
Volatility<BR>Indicator")<=5,10)<BR><BR>This system will enter a long
trade when the close has crossed above its 20<BR>week moving average, and when
Historical Volatility Indicator was .5 or<BR>lower within the last 10 weeks. The
system will sell when the close crosses<BR>below its 20 week moving average, and
when Historical Volatility Indicator<BR>was .5 or lower within the last 10
weeks. Use any indicator you would like,<BR>this just provides a basic example
of how to use this indicator in a
system<BR>test.<BR>================================================================<BR>Historical
Volatility System, Connors and Raschke's<BR><BR>Rev. 02/24/97 --Allan J.
McNichol, Equis International<BR><BR>In the August 96 issue of Stocks &
Commodities, Traders Tips, Allan<BR>McNichol explains how to use the MetaStock
Explorer to search for<BR>securities based on Connors and Raschke's historical
volatility system. The<BR>following is from his article.<BR><BR>To do this go to
The Explorer and choose the New button. Enter in the<BR>following column and
filter formulas.<BR><BR><BR><BR>Col A: Vol
Std(Log(C/Ref(C,-1)),5)
/<BR>ratio
Std(Log(C/Ref(C,-1)),99)<BR><BR>Col B: NR4 day High - Low <
Ref(LLV(H-L,3),-1)<BR><BR>Col C: Inside High < Ref(High,-1)
AND Low < Ref(Low,-1)<BR><BR>Col D: High
High<BR><BR>Col E: Low
Low<BR><BR>Filter
ColA < 0.5 AND (ColB = 1 OR ColC = 1)<BR><BR><BR><BR>Run the exploration on
the desired securities and display the report.<BR>Column A shows the ratio
between the six-day and 100-day volatility. Column<BR>B displays a 1 if today is
a NR4 day and a zero on all other days.<BR>Similarly, column C displays a 1 if
today is an inside day. The high and<BR>low are displayed in columns D and E to
determine the entry
points.<BR><BR>============================================================<BR>Price
Action Indicator (PAIN)<BR><BR><BR>If you were only given today's open, high,
low and close, how could you<BR>make heads or tails of it? The Price Action
Indicator (PAIN) can help. The<BR>formula returns a single value that weighs
intra-day momentum (C-O), Late<BR>Selling Pressure (LSP) (C-L), and Late Buying
Pressure (LBP) (C-H). The<BR>formula is proven by constructing ideal limit-up
and limit down scenarios<BR>in bond futures. The output is shown to be
consistent with the<BR>interpretation of Japanese candlestick patterns. See
Michael B. Geraty<BR>(1997). "Getting Better Directions" Futures Vol.
26:
Aug.<BR><BR><BR><BR>PAIN<BR><BR>((C-O)+(C-H)+(C-L))/2<BR><BR><BR><BR>============================</DIV></BODY></HTML>
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