>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