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The following study, which, please note, is very theoretical, looks at
volatility in a lot of markets.
http://www.monep.fr/pub/clive.pdf
Just skip all the math stuff and go to page 60 if you are interested
in this. There they start tabulating results of different techniques
and comment on the performance.
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, "dr.torque" <drtorque@xxxx> wrote:
> I think we should define how to measure the volatility in a specific
market
> based on the volatility characteristics of that market and what type
of an
> indicator would best fit for measuring that relevant type of volatility.
>
> Jose's suggestion of ATR is one of the very best but I suppose we
are not
> looking for average very good solutions here.. I totally agree that
there
> seem to be some major problems for an average trader, but we are not
trying
> to be an average trader as well.
>
> maybe we can get to somewhere interesting brainstorming on this topic..
>
> regards,
>
>
>
> Dr. Torque
>
>
>
>
>
> -----Original Message-----
> From: equismetastock@xxxxxxxxxxxxxxx
[mailto:equismetastock@xxxxxxxxxxxxxxx]
> On Behalf Of Whit
> Sent: Monday, May 16, 2005 1:13 PM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: Re: [EquisMetaStock Group] ATR-based volatility
>
>
> Here is a related idea, picking up on this interesting theme. That is,
> rather than using Bollinger Bands, which are based on a StDev
function, you
> can use Keltner Channels, which are based on ATR. For example, you
can set
> your upper and lower K-Channel bands to be 2 Average True Ranges
(over the
> past 20 bars, say) above and below the MA. This gives a very nice
measure
> of volitility and is very helpful in assessing an impulse move out of a
> consolidation. When price penetrates the K-Channel after a
consolidation,
> you have good odds of an impulse move and follow through in the
direction of
> the penetration. (I'm sorry i can't give you the code for this -- I
am a
> Trade Station convert and just beginning to learn MS code).
>
> Whit
>
> 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 <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
>
>
>
>
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