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Kevin
If I do it your way and so far it looks good then I would have to populate a
portfolio weekly with this exploration since I want low volatility two days
ago and not including yesterday or the day before.
Martin Blain
Burlington Ontario
----- Original Message -----
From: "Kevin" <kevin_barry@xxxxxxxxxxxxxx>
To: <Metastockusers@xxxxxxxxxxxxxxx>
Sent: Monday, November 01, 2004 4:38 AM
Subject: Re: [Metastockusers] Re: Low volatility
>
> 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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>
> Yahoo! Groups Links
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>
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