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Hello everyone,
What would be the best idea to measure intraday volatility?
Assuming that a stock is trading at 1000 and sees its high at 1100 leaves us
with a healthy range of 100, or a bit less than 10%. But it could have
opened at 1000 and then went right up to 1100, or it could travel the
distance back and forth a number of times during the day
(1000-1100-1020-1090 etc. etc.)
I thought - since obviously we can only measure yesterday's volatility -
that maybe troughs and peaks would fill the bill here, since last day's
volatility is already past. But somehow I'm afraid of this trough/peak trap.
Another way would simply be, to measure the number of times the stock has
crossed above, for example, a simple MA:
MktStart:=DayOfWeek()<>Ref(DayOfWeek(),-1);
Volt:=Cum( Cross( C,Mov(C,5,S)) );
Volt1:= ValueWhen( 1, MktStart, Volt)-ValueWhen( 2, MktStart, Volt);
Volt1
... but this too is quite defective. Prices could have crossed the MA back
and forth in a sideways movement, and yet the stock could have stayed where
it was. Maybe it should be coupled with daily range, or daily ATR, etc.
Any comments? Ideas?
Thanks, all the best
Yarroll
***
http://republika.pl/yarroll999/
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