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You do not say what you consider "normal". The following will give a
number centered around 100 when the average true range is at it's
100-day average.
Ratio = 100 * AvgTrueRange(10) / AvgTrueRange(100);
At 12:57 PM -0800 1/16/01, Monte C. Smith wrote:
>I'm trying to write code for a volatility filter which will work for
>a portfolio of futures. For example: the following is the 10 day
>average true range as of close 1/12/01: Natural gas = 0.661 or
>$6,610, corn = 3.69 or $184.50, crude oil = 1.05 or $1,050, japanese
>yen = 0.0073 or $912.50 and ten year notes = 0.7694 or $769.40.
>
>The concept is to trade within a range of volatility, if the
>volatility is too high or low, the system will not trade. The problem
>is bringing the code to a single standard. Any help with this is
>greatly appreciated.
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