>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
------------------------ Yahoo! Groups Sponsor --------------------~-->
In low income neighborhoods, 84% do not own computers.
At Network for Good, help bridge the Digital Divide!
http://us.click.yahoo.com/EpW3eD/3MnJAA/cosFAA/BefplB/TM
--------------------------------------------------------------------~->
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/