>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