>From my own chart
observations, I think that the ATR is probably the
best measure of
volatility.
I don’t think so,
Jose. Volatility is a kind of dispersion, and the best measure of dispersion is
the standard deviation. It is a simple question of statistics. With standard
deviation you can do quantitative assertions about the probability of breaking a
channel, for instance, or being exited of an operation by a stop.
Speaking of
securities, I particularly like the standard deviation of daily returns. The
distribution of this quantity is not normal, of course, but you can study it on
a heuristics base.
The work of Bollinger is interesting
(I am the translator of his book in Spain) because he always justifies (or
tries to…) his methods from a statistical point of view. If someone likes his
bands, then reading his book is a must.
Once more, thank you,
Jose. Your contributions to this forum are always highly valuable (including the
one about ATR...).
Kind
regards.
Manuel