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<DIV>Would like to know if your would care to share some more information on
this chart. What is the Histvol 6/100 indicator and how do you use it? Is it
just the ratio of the 6 day to 100 day volatility? <SPAN
class=760004213-28121999><FONT color=#0000ff> </FONT></SPAN></DIV>
<DIV><SPAN class=760004213-28121999></SPAN> </DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>Yes. Here is the
equation for Metastock - make a new indicator in Indicator
Builder:</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff><SPAN
class=760004213-28121999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff><SPAN
class=760004213-28121999>Std(Log(C/Ref(C,-1)),6)/Std(Log(C/Ref(C,-1)),100)</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff><SPAN
class=760004213-28121999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>For Excel/Tradestation -
the above is nothing but the </SPAN></FONT></DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>- ratio
of</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>- log of
</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>- std devn of
</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>- price changes
(daily)</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>- for a 6 day
period</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>- contrasted with the
100 day period.</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff><SPAN
class=760004213-28121999></SPAN></FONT> </DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>Variations I use are
</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>- ATR changes
across diff periods (instead of Price change)</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>- change periods to
4/90, 4/25 etc.</SPAN></FONT></DIV>
<DIV><SPAN class=760004213-28121999></SPAN> </DIV>
<DIV><SPAN class=760004213-28121999> </SPAN>I see around mid October the
value went over 1.5, i.e. crossing the upper line. What does that signify if
anything. <SPAN class=760004213-28121999><FONT
color=#0000ff> </FONT></SPAN></DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>This is based on the
principle that volty reverts to mean.</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>Hence if 1 = mean, any
extreme = rubber band must start to come back to normalcy.</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>The way I use >1.5
readings is to anticipate a 3-5 day sideways move, a time to capture some
premium or not initiate any new directional trades.</SPAN></FONT></DIV>
<DIV> </DIV>
<DIV><SPAN class=760004213-28121999> </SPAN>How did you determine the upper
and lower bounds? <SPAN class=760004213-28121999><FONT
color=#0000ff> </FONT></SPAN></DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>Arbitrary, and
customized for each market. </SPAN></FONT></DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>The idea came from
</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>- option trading
experience</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>- Sheldon Natenberg's
one liner on vol reverting to mean in his book</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>- a paper published by
Prof Fernando Diz and replicated by Larry Connors in Advanced Trading
Strategies.</SPAN></FONT></DIV>
<DIV><SPAN class=760004213-28121999></SPAN> </DIV>
<DIV><SPAN class=760004213-28121999> </SPAN>Anything else you would like to
share about this chart?<FONT color=#0000ff><SPAN
class=760004213-28121999> </SPAN></FONT></DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>Just that the +/-
3.5% ma bands are also "curve-fitted" in that different charts track different
bands. These come in handy in sideways markets, using option
strategies.</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>They are less
useful in trending markets, and serve essentially to remind me about how
far price has strayed from its own mean - in case I am tempted to put on some
new directional trades in the direction of the trend - or
counter-trend.</SPAN></FONT></DIV>
<DIV><FONT color=#0000ff><SPAN
class=760004213-28121999></SPAN></FONT> </DIV>
<DIV>Thanks for all the work you have been sharing on this list and the
Metastock list. It is much appreciated.</DIV>
<DIV><FONT color=#0000ff><SPAN class=760004213-28121999>Welcome
:)<BR>Gitanshu</SPAN></FONT></DIV></BODY></HTML></x-html>
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