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Kevin
I am trying this out now. I noticed you added the "REF".
Martin Blain
Burlington Ontario
----- Original Message -----
From: "Kevin" <kevin_barry@xxxxxxxxxxxxxx>
To: <Metastockusers@xxxxxxxxxxxxxxx>
Sent: Tuesday, November 02, 2004 3:51 AM
Subject: Re: [Metastockusers] Re: Low volatility
>
> 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
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> >
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>>
>>Yahoo! Groups Links
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