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Hello Martin,
I would suggest that you consider using a slightly different approach in
order to meet your requirements.
Scanning for a volatility level in isolation won't tell you much at all
because different stocks have got their own unique 'normal' level of
volatility, i.e. a tech stock will almost certainly have a far higher
normal volatility level than, say, a boring old S&P100 stock.
Therefore, what you need to look for is a low RELATIVE volatility, i.e. is
the stock near it's own yearly low volatility level ignoring the actual
level itself?
So, let's plot volatility over the last, say, ten periods:
(P.S. There are many different methods of measuring volatility.)
10VolInd:
(( HHV(H,10 ) - LLV(L,10))/C) * 100
Now, let's plot the annual volatility low:
10VolIndLow:
LLV( Fml("10VolInd"),253)
Now, explore your stocks:
ColA: Fml("10VolInd")
ColB: Fml("10VolIndLow")
Filter: ColA < (ColB*1.05)
This will give you stocks where the ten-period volatility is within 5% of
the lowest volatility level of the year.
I hope that helps.
Regards,
Kevin
At 19:38 31/10/2004 -0500, you wrote:
>
>
>Wabbit
>This is what I ended up using although it is not quite right.
>
>Signal:=Vol(10,10)<2;
>
>BarsSince(Signal)<4
>
>Added the barssince to avoid spikes at the end of the chart.
>I really am just looking for an exploration to find stocks that are flat
>lining for a month or two.
>
>Martin Blain
>Burlington Ontario
>----- Original Message -----
>From: "bellamy_29m" <bellamy_29m@xxxxxxxxx>
>To: <Metastockusers@xxxxxxxxxxxxxxx>
>Sent: Sunday, October 31, 2004 7:16 PM
>Subject: [Metastockusers] Re: Low volatility
>
>
> >
> >
> > Have you tried something along the lines of :
> >
> > prd:=input("Lookback periods...",1,252,30);
> > x:=input("Price data: 1-O, 2-H, 3-L, 4-C",1,4,3);
> > x:=if(x=1,O,if(x=2,H,if(x=3,L,C)));
> >
> > myVol:=(hhv(x,prd)-llv(x,prd)) / llv(x,prd);
> >
> > myVol;
> >
> > This will return low values during periods of low price movement, and
> > larger numbers when the price is changing. Find a threshold
> > (programmatic / automatic calculation is possible)
> >
> > If it isn't quite what you are looking for, then let me know.
> >
> > Hope this helps.
> >
> > wabbit :D
> >
> > P.S. - you should really have posted your work-in-progress code so
> > that those people who you are asking for help can see what you have
> > already tried.
> >
> >
> >> I have been struggling to develope an indictor for low price
> >> volatility over say a 30 day period. The problem seems to be that
> >> I want the price to also remain the same as well as end the period
> >> at the same price. Any help would be appreceiated. I have tossed
> >> out about 10 formulas!
> >
> >
> >
> >
> >
> >
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
> >
>
>
>
>
>
>Yahoo! Groups Links
>
>
>
>
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