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Hello Fulvio,
Here is the standard measure of volatility, 20 day volatility in this
case:
Std(Log(C/Ref(C,-1)),20) * Sqr(365)*100
You can plot it as an indicator and judge for yourself what is low
volatility in your book. One equity's high volatility will not be the
same for another. Therefore, you need to scan for low RELATIVE volatility
rather than low absolute volatility. You can change 20 to a different
period. Also, a lot of people use the number of trading days in the year
(250-ish) rather than the number of calendar days for the
calculation.
Here is a less sophisticated approach but it works for me.
Create these two indicators (call them what you like):
KB Volatility HHV-LLV 10: (( HHV(H,10 ) - LLV(L,10))/C) * 100
KB Volatility LLV Year HHV-LLV 10: LLV( Fml("KB Volatility HHV-LLV
10"),253)
Exploration:
ColA: 5% Low
Fml("KB Volatility HHV-LLV 10") <
(1.05*(Fml("KB Volatility LLV Year HHV-LLV 10")))
ColB: 10% Low
Fml("KB Volatility HHV-LLV 10") <
(1.10*(Fml("KB Volatility LLV Year HHV-LLV 10")))
Etc. etc.
This exploration identifies equities where the 10 day trading range is
within 5% or 10% of the 10 day trading range for the year. Amend to suit
yourself.
I hope that helps you. If you're an options trader, it's a decent way of
identifying potential strangle candidates.
Regards,
Kevin
At 11:58 22/03/2004 +0100, you wrote:
in a exploration how
I can reject stocks with low volatility?
Thanks
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