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At 8:27 PM -0400 9/20/00, David Wieringa wrote:
>I am looking for a way to allow my system to adjust to changes in market volitility. Rather than base my system parameters on a 'normal trading day' I would like to base them on a variable that changes with trading volitility such as margin.
The classic solution to this is to measure the volatility from the data in some way and use that in the system. I recall a "Historical Volatility" measure by Raschke/Connors and the use of Average True Range by lots of people including Chuck LeBeau.
Bob Fulks
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