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Bob,
I use volatility for the gross screening by TC2000, and I also use it as a
final filter against all stocks in the list produced by TC2000. Worden
says the following about this indicator:
"This indicator is calculated as follows: The stock's weekly percentage
rise over the last 13 weeks is summed and averaged. The stock's final
volatility is found by dividing its average of 13-week movements by the
median value for all stocks."
The volatility indicator used for final filtering is one called Historical
Volatility, documented in an article by Larry Connors and Linda Raschke in
the August, 1996 issue of Stocks and Commodities magazine. The MetaStock
code for this indicator follows:
$HistVol50Prds_Dly
HistVolPrds:= 50;
CLOSEPctChg:= C / Ref(C,-1);
HistVol:= Stdev(CLOSEPctChg,HistVolPrds) * 16.1245155 {annualize} * 100
{convert to %};
HistVol
Note that the factor 16.1245155 used to annualize [SQRT(260 trading days in
a year)] is for daily data. If weekly data is being used, use the factor
7.2111026 [SQRT(52)].
Regards,
Bill
----------
> From: Bob Hunziker <bobhunziker@xxxxxxxxxxxxx>
> To: Metastck E-Mail User Group <metastock@xxxxxxxxxxxxx>;
wrcoward@xxxxxxxxx
> Subject: Re: TC2000 vs QP2
> Date: Wednesday, December 16, 1998 4:26 PM
>
> Bill what indicator/formula do you use for volatility and are you using
MS
> Explorer? If so could you share you share your exploration with the
group.
> Thanks.
> ------------------
>
> -----Original Message-----
> From: Bill Coward <wrcoward@xxxxxxxxx>
> To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
> Date: Wednesday, December 16, 1998 6:32 AM
> Subject: Re: TC2000 vs QP2
>
>
> >Cab,
> >
> >I'm currently using a scan that includes only NYSE stocks, Volatility
value
> >61 and higher, Price value 13.75 and higher, and Volume-5day value 541
and
> >higher. This currently produces 468 stocks. I use this pool for both
long
> >and short picks. I've found a direct correlation between volatility
> >ratings and average daily returns.
> >
> >I stopped using NASDAQ stocks because of their higher intraday
volatility
> >and hitting my stops more frequently. However, I'm revisiting this
issue
> >and am starting to do some testing with another TC2000 scan which
includes
> >both NYSE and NASDAQ stocks. The Price and Volume values are the same
as
> >above but the Volatility value is 75 and higher. This scan produces
almost
> >800 stocks. I did a short-trades-only backtest using TechniFilter from
> >1/1/93 through the present on both pools with no stops but exiting after
> >one day. The pool with the higher Volatility values produced an average
> >daily return 33% higher than the one with lower values. I suspected
this
> >was due to higher volatility NASDAQ stocks, but I was wrong. Using
Excel
> >to get separate stats on each group based on the length of the ticker
> >symbol (NYSE = 1-3, NASDAQ > 3), the returns for both were virtually
> >identical. I plan to adjust my stops to take advantage of the benefits
of
> >higher volatility.
> >
> >Good luck.
> >
> >Bill
> >
> >----------
> >> From: cvinton <cvinton@xxxxxxxxxxxxxx>
> >> To: L_MetaStock <metastock@xxxxxxxxxxxxxxxxxxxx>
> >> Subject: Re: TC2000 vs QP2
> >> Date: Sunday, December 13, 1998 12:15 PM
> >>
> >> "Bill Coward" <wrcoward@xxxxxxxxx> wrote:
> >>
> >> > I use TC2000 to filter at
> >> > a gross level stocks I'm interested in. These are stocks on the
NYSE
> >> > having the highest volatility with certain price and volume
> >> > characteristics. This gives me a pool of about 500 stocks to work
> >with.
> >>
> >> Bill,
> >>
> >> What particular volatility, price, & volume characteristics are you
> >> looking for?
> >>
> >> I'm looking for a good initial screen for stocks ...
> >>
> >> Thanks,
> >>
> >> Cab Vinton
> >>
>
>
>
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