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In a spreadsheet(Excel) with data to be analyzed put the following
column
A1 date
B1 data(ie. close)
C2 =LN(todays data / previous days data)^2
D7 =sqrt(256/5*sum(C2:C7))
copy down
the 5 in 256/5 is for a five day volatility calculation (as well as the
five day range c2:c7)
this will have to be adjusted for your time frame. Its not perfect but it
will tell you where volaltility is going and you can adjust it for your
own time frame.
This is the easy part, trying to figure out the time period to use is
the hard part. I am currently using 6 days for the OEX.
Good Luck
Ron McEwan
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