|
PureBytes Links
Trading Reference Links
|
I may have missed something, but how do you exactly define/measure
volatility?
Since an upvol day cannot be a dnvol day and vice versa, you may have to do
something like a running total of upvol and dnvol for some number of days.
Another suggestion take the ratio of upvol/(upvol + dnvol). Doesn't the DMI
do something like this?
Lionel
----- Original Message -----
From: "Samerski, Michael (Australia)" <msamerski@xxxxxxxxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Tuesday, December 14, 1999 5:03 PM
Subject: RE: Volatility
> IDEA:
>
> Another twist I am investigating is to measure what I call "Up Vol" and
> "Down Vol".
>
> UpVol = Volatility of Up Days only
> DnVol = Volatility of Down Days only
>
> I have tried to extract some meaning from the ratio of the two ie.
>
> Indicator = UpVol / DnVol
>
> but found nothing yet - perhaps someone on the List can!
>
> Michael Samerski
> Metronome Trading Systems Pty Limited
> email : michael@xxxxxxxxxxxxxxxxxxxxxxxx
> www : http://www.metronome-trading.com.au
> <http://www.metronome-trading.com.au/>
>
>
|