Re: Volatility & Predicting Future Range

[Cab Vinton <cvinton@xxxxxxxxxxxxxx>]

Well, thanks to the contributions of many folks I have 
something that looks interesting at first blush.

The following indicator plots the theoretical high and
low for every bar, based on the N day volatility of N days
ago, at 95% C.F.

The bands are quite volatile and could be smoothed.

Make sure you set scaling to Same as price.

The volatility function, AV_VtyCC2, is also provided below.
Substitute your own as it suits. (I seem to have a bunch,
none of which agree with each other.)


++++++++++++++++++++++++++
{CV_Theoretical Range}

Inputs: Len(20), YrEquals(252), CF(2) ;
Vars: Multiplier(0) ;

Multiplier = ExpValue(0.01*AV_VtyCC2(Len, YrEquals) * SquareRoot(Len/
YrEquals)) - 1 ;

Value1 = (High * (1 + CF*Multiplier))[Len] ;
Value2 = (Low * (1 - CF*Multiplier))[Len] ;

Plot1(Value1,"Top");
Plot2(Value2,"Bott");


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{AV_VtyCC2
Automatically adjusts to daily or weekly bars;
Allows you to input the number of days (Annual =250 or 365)
}

Inputs: LookBk(NumericSimple), Annual(NumericSimple);
Vars: HVol(0), Per(0);

If DataCompression <= 2 then Per = 1;
If DataCompression = 3 then Per = 7;

HVol = StdDev(Log(C/ C[1]), LookBk) * SquareRoot(Annual/ Per);

AV_VtyCC2 = HVol*100;