|
PureBytes Links
Trading Reference Links
|
Hi MG,
I’m absolutely in
accordance with you. Volatility MUST be measured in percentage returns, very
specially when dealing with long periods data.
Manuel
----- Original Message -----
Sent: Monday, May 16, 2005 4:46 PM
Subject: Re: [EquisMetaStock Group]
ATR-based volatility
OK, I haven't done this test, not participated in this
debate, but to
get a *real* feel for the statistical standard deviation,
you should
calculate it in the percentage change in the close, something
like
Stdev(C/Ref(C,-1)-1,30);
You probably need to also
annualise this, something like
Stdev(C/Ref(C,-1)-1,30) *
Sqrt(250);
using a 250 day year. Note that I use 30 days.
To get the standard
deviation to have any validity (or most other
indicators for that
matter) you should use 30 or more days. There is
a (deep) theoretical
reason for this - I think you can maybe take this
number down to 20
but do so at your own risk.
I also *think* that to
do any sensible comparison, you have to use the
same number of periods for
both. Now, the ATR uses H, L and C, so
*maybe* you can use 10 for the
ATR when you use 30 for STDEV, but
maybe not.
Anyhow, looking
forward to comments on how this one compares to the ATR.
Regards
MG
Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, "Jose
Silva" <josesilva22@xxxx>
wrote:
> Manuel, Andrew, staying away
from mathematical jargon if possible,
> let's concentrate on what seems
to work best on the markets.
>
> Plot and compare these two
indicators below any volatile chart:
>
> ATR(1);
>
>
Stdev(C,2);
>
>
> It may be a subtle difference, but I
know which one I'd prefer.
>
> And introduce Standard deviation
to a large price gap over say, 21
> periods [Stdev(C,21)], and the
*increasing volatility* shown by Std
> Dev *after* the event, is simply
wrong. Compare to Mov(ATR(1),21,E).
>
> Again, from *my own
chart observations*, my view is that the ATR is
> probably the more
natural measure of price volatility.
>
> My observations and
thoughts may not be mathematically correct, but
> that is the way I
view volatility in charts - not as a bunch of
> abstract numbers to be
manipulated mathematically, but rather, data
> points representing mass
psychology at work.
>
>
> jose '-)
> http://www.metastocktools.com
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "Manuel
Cabedo" <manelcabedo@x
> ...> wrote:
> >
> >>
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
Yahoo! Groups Links
|
|