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Al!
That's simply:
ATR(3) - ATR (10)
Naturally low values of this oscillator precede big price changes in a
similar fashion as low volatility measured by standard deviation or narrow
Bollinger bands does. However the direction of the breakout from these
narrow ranges can be hard to foresee. Mostly in the direction of the trend
I assume.
Since I know you trade currencies you can check this out on the DMark, the
Swiss frank or the Japanese yen. Using an ATR oscillator I guess that one
is not making the same assumptions regarding the probability distributions
as are implicit when using the standard deviation of a percent change.
You will see that the same seems to apply more generally, e.g. stock
indices, etc. The number of time periods most effective for measuring the
"relative quiteness" of markets probably differs.
Best regards,
Yngvi
At 12:37 PM 02-09-98 -0500, you wrote:
>On daily charts, I use a 10 period ATR and a 3 period ATR. If I knew
>enough about formulas, I would set an oscillator to chart the difference
>and, test if this precedes change. On weekly charts, I use a 4 period ATR
>and a 1 period ATR. If you will set this up, you will see how, with few
>exceptions, the 4/weekly and 10/daily ATR's are constant enough to be
>valuable in anticipating when the move is over and how far it will go.
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