|
PureBytes Links
Trading Reference Links
|
Hello Martin,
What about:
10VolInd:
Ref ( (( HHV(H,10 ) - LLV(L,10))/C) * 100 ,-2)
10VolIndLow:
Ref ( LLV( Fml("10VolInd"),253) ,-2)
Exploration remains the same.
?
Regards,
Kevin
At 19:11 01/11/2004 -0500, you wrote:
>
>
>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
> >>
> >>
> >>
> >>
> >
> >
> >
> >
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
> >
>
>
>
>
>
>Yahoo! Groups Links
>
>
>
>
------------------------ Yahoo! Groups Sponsor --------------------~-->
$9.95 domain names from Yahoo!. Register anything.
http://us.click.yahoo.com/J8kdrA/y20IAA/yQLSAA/zMEolB/TM
--------------------------------------------------------------------~->
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/Metastockusers/
<*> To unsubscribe from this group, send an email to:
Metastockusers-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|