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Don T. wrote:
I know that VIX/SqRt(312) gives me the expected percent range for the
day.
How would I figure that into on an hourly basis?
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Don, Go back to Sheldon Natenberg's book and read chapter 4 "Volatility".
Look at the section on "Volatility as Standard Deviation" (there will be
a test later).
The expected range is based on 256 actual trading days in a year.
(subtract weekends and holidays). The VIX is calculated for 20 days. You
divide 20 into 256 to get 12.8. Your formula now should be VIX/SqRt(12.8)
for a daily range of one Std Dev.. Or for an hourly figure its 256
divided by 6.5 * 20. Hourly range = IX/SqRt(1.969). This formula will
give you a very good range breakout system.
Ron McEwan
p.s. if you ever get someone to figure out how to code normdist into TD
let me know. I still have not been able to figure this one out.
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