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>From my own chart observations, I think that the ATR is probably the
best measure of volatility.
Try this MS ATR-based volatility indicator:
================
Volatility - ATR
================
---8<-----------------
{ ©Copyright 2004~2005 Jose Silva
The grant of this license is for personal use
only - no resale or repackaging allowed.
All code remains the property of Jose Silva.
http://www.metastocktools.com }
{ User inputs }
pds:=Input("ATR real smoothing periods)",
1,260,10);
norm:=Input("Normalize? [1]Yes, [0]No",
0,1,0);
{ ATR-based volatility }
Vt:=Mov(ATR(1),pds,E);
{ Normalize volatility to historical Higs/Lows }
VtNorm:=(Vt-Lowest(Vt))
/Max(Highest(Vt)-Lowest(Vt),.000001)*100;
Vt:=If(norm,VtNorm,Vt);
{ Average volatility }
avg:=Cum(Vt)/Cum(IsDefined(Vt));
{ Plot in own window }
avg;Vt
---8<-----------------
jose '-)
http://www.metastocktools.com
--- In equismetastock@xxxxxxxxxxxxxxx, Khamsina <Khamsina11@xxxx>
> wrote:
>
> Hi Jose,
>
> I do agree with your opinion. But unfortunately I have no workaround
> :-[
>
>I you have a solution, do not hesitate !
>
>Regards,
>
>Marco
>
>
>Jose Silva a écrit :
>
> The basic premise of the Bollinger's bandwidth indicator is to
> measure volatility, but it doesn't do this too well.
> Volatility as measured by this indicator not only appears late
> (as with all lagging indicators), but actually increases after
> the event.
>
> Marco, plot your indicator on a chart with a big sudden price move
> (say, 20~50%), and the problem becomes evident. Normalizing the
> indicator will not fix it.
>
>
> jose
> http://www.metastocktools.com
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