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Re: [EquisMetaStock Group] ATR-based volatility



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>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

 


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