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Pete
Whatever one you want to use is the correct one for you. The author probably had particular figures
in mind but that doesn't make them "correct" for you or anybody else. The biggest difference that
either 99 or 100 is going to make is an N/A plot period of 100 or 101 bars - it doesn't matter
enough to worry about. The difference between 5 and 6 is more significant but something you should
determine for yourself. Inevitably what you choose will be a compromise anyway so don't sweat it.
Roy
----- Original Message -----
From: "healthwealthau" <wealth@xxxxxxxxxxxxx>
To: <Metastockusers@xxxxxxxxxxxxxxx>
Sent: Tuesday, December 09, 2003 1:45 PM
Subject: [Metastockusers] Historical Volatility Indicator
> Please help
>
> I found this formula for historical volume indicator below and
> changed it to do a 6 and 100 comparison. Then I noticed the result
> was different to the historical volatility explorer also shown below.
> Which volatility ratio is correct, indicator or explorer?
>
> Historical Volatility Indicator.
> Historical volatility for 10 and 100 days.
> Std(Log(C/Ref(C,-1)),10)/Std(Log(C/Ref(C,-1)),100)
> changed for 6 and 100 days to
> Std(Log(C/Ref(C,-1)),6)/Std(Log(C/Ref(C,-1)),100)
>
> Historical Volatility Explorer (Connor and Raschke).
> Column A shows the ratio between the six-day and 100-day volatility.
>
> Col A: Vol ratio Std(Log(C/Ref(C,-1)),5) / 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)
>
> Thanks Pete
>
> ps: found them here
> http://www.paritech.com/education/technical/custom/indicators/historic
> al1.asp
> http://www.paritech.com/education/technical/custom/explorations/histor
> ical.asp
>
>
>
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>
>
>
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