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MG, both of your StdDev solutions still suffer from the same delayed/
increasing volatility plot problem, which becomes evident on large
volatility (price gaps).
jose '-)
http://www.metastocktools.com
--- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999 <no_reply@xxxx>
wrote:
> 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@xx
..> 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@xxxx> 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
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