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<DIV><FONT size=2>Perhaps I'm missing something, it would appear that you've
already determined the desired result to be stable at 11-14% and could simply
plug a random constant in that range into your formula. As a trader, there is no
doubt in my mind that volatility during past 6 weeks has increased significantly
over historical levels, thus it does not appear reasonable that volatility is
stable. Should I look for proof, I need look no further than 14 day average true
range, 20 day StdDev, or the CBOE VIX index. Perhaps you are looking for
something other than volatility.</FONT></DIV>
<DIV><FONT size=2></FONT> </DIV>
<DIV><FONT size=2>Earl</FONT></DIV>
<BLOCKQUOTE
style="BORDER-LEFT: #000000 solid 2px; MARGIN-LEFT: 5px; PADDING-LEFT: 5px">
<DIV><FONT face=Arial size=2><B>-----Original Message-----</B><BR><B>From:
</B>peter <<A
href="mailto:derivatives@xxxxxxxxxxx";>derivatives@xxxxxxxxxxx</A>><BR><B>To:
</B>RealTraders Discussion Group <<A
href="mailto:realtraders@xxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxx</A>><BR><B>Date:
</B>Sunday, September 20, 1998 2:51 AM<BR><B>Subject:
</B>HELP!!!!!!!!!!!!!!!!<BR><BR></DIV></FONT>
<DIV><FONT color=#000000 size=2>My fellow RT'ers</FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT>
<DIV><FONT color=#000000 size=2>I would like your thoughts on a matter.
</FONT></DIV>
<DIV><FONT color=#000000 size=2>I have been working an analysis
study (statistical) on the S&P cash market, & require a volatility
figure for the market. I know the appropriate answer I seek due to
interpolating the analysis & working backwards in a sense.</FONT></DIV>
<DIV><FONT color=#000000 size=2>This volatility figure is around 11-14% , is
calculated daily, & is stable around the 11-14% range every day. In fact
it is stable at around 11-14% even on a weekly , monthly & yearly basis.
ie weekly volatility figure is 11-14% itself etc</FONT></DIV>
<DIV><FONT color=#000000 size=2> The problem is that I dont know
the calculation of it. </FONT></DIV>
<DIV><FONT color=#000000 size=2>I have tried ATM implied volatility of
S&P options,variance, SD on cash & confidence intervals, etc &
some other obscure ones, but they are all to high so they are not the basis
of the calaulation that I am looking for..</FONT></DIV>
<DIV><FONT color=#000000 size=2>Basically, do you know of any volatilty
calculation which fits the above parameters which I have mentioned. It may
not even be of a statistical nature but could also be TA based.
</FONT></DIV></DIV>
<DIV><FONT color=#000000 size=2>
<DIV><FONT color=#000000 size=2>The volatility figure also is between
11-14% on other markets on a daily basis such as the hangseng, &
xau. It also is at that level when I consider weekly, monthly
& yearly data. So, although the figure changes daily, it is a
stable figure of around 11-14% on multiple markets & on multiple time
frames.</FONT></DIV>
<DIV><FONT size=2>In essence the volatility figure serves as an adjustment
factor to to enable the calculation of the markets true data
structure.</FONT></DIV>
<DIV><FONT size=2>ANY suggestions or advive would be most
appreciated</FONT></DIV>
<DIV><FONT size=2>Peter
Karaguleski</FONT></DIV></FONT></DIV></BLOCKQUOTE></BODY></HTML>
</x-html>From ???@??? Sun Sep 20 09:05:40 1998
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From: Wintels <wint@xxxxxxxxxxxxxxxx>
To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
Subject: ADVANCE GET and oscillator divergences
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#1 I would appreciate feedback on the ADVANCE GET software, specifically
your experiences re the use of the "ellipse," "MOB" and "PTI" as part of
a trade-entry and trade-exit methodology. If already hashed out in a
previous thread, please respond to my address.
#2 Is anyone regularly using momentum divergence (any time period) in
5-17, 5-35 or 10-70 MACDs as setup for entry/exit? John
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