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