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rev. 6/06/98 In his book New Concepts in Technical Trading Systems,J. Welles Wilder Jr. talks about volatility and describes his Volatility Index and Volatility System.Both of these can be performed in MetaStock for Windows.This document describes how to construct boththe indexand the system. The Volatility Index (VI) is described by Wilderas: VI Today = (13 * VI Prev + TR1) / 14 *where TR1istoday's true range. He defines the true range as the greatest of thefollowing: 1.The distance from today's high to today'slow 2.The distance from yesterday's closeto today'shigh, or 3.The distance from yesterday's closeto today'slow. In MetaStock version 6.0 or higher you would use the Prev function anda one period Average True Range to construct the Volatility Index. The custom formula is written as: |
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Wilder's Volatility Index (13 * Prev + ATR(1)) / 14 |
The Volatility System is: Enter Long Cross(C,Ref(LLV(C,7),-1)+(Ref(ATR(7),-1)*3)) Enter Short Cross(Ref(HHV(C,7),-1)-(Ref(ATR(7),-1)*3),C) | |
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