volatility

Yang-Zhang Volatility metastock n1:=9; averageP:=30; No:=Log(OPEN) - Log(Ref(CLOSE,-1)); Nu:= Log(HIGH) - Log(OPEN); Nd:= Log(LOW) - Log(OPEN); Nc:= Log(CLOSE) - Log(OPEN); Vrs:= 1 / n1 * Sum((Nu * (Nu - Nc) + Nd * (Nd - Nc)),n1); Noavg:= 1 / n1 * Sum(No,n1); Vo:= 1 / (n1 - 1) *...

Volatility Close-to-Close Volatility OHLC Volatility: Garman and Klass High-Low Volatility: Parkinson OHLC Volatility: Rogers and Satchell OHLC Volatility: Yang and Zhang

Volatility Quality index by Stridman {VQI} {Volatility Quality Index - Stridman's} Length1:=Input("Length 1",1,1000,9); Length2:=Input("Length 1",1,1000,200); VQI:=If(ATR(1)<>0 AND (H-L)<>0, ((C-Ref(C,-1)/ATR(1)) + ((C-O)/(H-L)))*0.5,PREV); VQI:=Abs(VQI)*((C-Ref(C,-1)+(C-O))*0.5)...

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...

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 both the index and the...

This article "Volatility Bands As A Long Term Strategy",by Ahmet Tezel, Ph.D., and Suzan Koknar-Tezel, M.S., which appears in this issue introduces two different volatility band trading systems. One systemuses bands based on moving averages and the other is based on bands whichuse regression. To...

In "Designing Volatility Breakout Systems," Paolo Pezzutti sets intraday entry and exit conditions. Intraday signals can only be tested using MetaStock Professional. The following system test replicates the TradeStation signals given in the article. To create a system test in MetaStock, select...

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 both the index and the system...

Volatility - Annualized Sqrt(20/19)*Sqrt(255)*Stdev(Log(C/Ref(C,-1)),20) Source / From: ???

It plots a +1 on a "future turn bar" after a low between 2 highs, a –1 after a high between 2 lows, and a zero otherwise. The 2 inputs are the same as the reversal amount in the MS-ZigZag function with the Percent option selected. The values you input here can be critical to the results...

Then copy this crude code in: Volatility Breakout System Commission:=21; {for Buy+Sell+Stop} TradeAmt:=10000; Buy:=O+((Ref(H,-1)-Ref(C,-1))*.7); Sell:=C; Stop:=O; Trade:= O < Ref(C,-1) AND H > Buy AND Ref(C,-1) < Ref(C,-2) AND Ref(C,-2) < Ref(C,-3) AND Ref(C,-3) < Ref(C,-4); {Trigger for...

. To: "'metastock@xxxxxxxxxxxxx'" <metastock@xxxxxxxxxxxxx> . Subject: Volatility exits . From: mikelu <mikelu@xxxxxxxxxxxxxxx> . Date: Fri, 4 Dec 1998 04:53:30 -0800 . Reply-To: metastock@xxxxxxxxxxxxx . Sender: owner-metastock@xxxxxxxxxxxxx I want to draw two lines on my chart to use for...

Re: Chandre & Krolls Volatility Stop * To: metastock@xxxxxxxxxxxxx * Subject: Re: Chandre & Krolls Volatility Stop * From: "C. Baude" <BAUDECB@xxxxxxxxxxxxx> * Date: Sat, 30 Jun 2001 08:16:33 -0400 * In-Reply-To: <000801c1002c$c6930750$7f52fea9@xxxx> * References...

Volatility - Total Mov((Abs(O-H)),21,E) + Mov((Abs(O-L)),21,E) Source / From: ???

David Landry Historical Volatility Num:=Input("Number Of Periods For Numerator",1,100,4); Den:=Input("Number Of Periods For Denominator",2,1000,100); Std(Log(C/Ref(C,-1)),Num)/Std(Log(C/Ref(C,-1)),Den) David Landry Average Historical Volatility Den:=Input("Number Of Periods For...

rev. 01/06/97 The following formulas were taken from the article "The relative volatility index," written byDonald Dorsey, in the June 93 issue of Technical Analysis of STOCKS &COMMODITIES. Taken from Stocks & Commodities, V. 11:6 (253-256): The Relative Volatility Index by Donald Dorsey "The...

rev. 01/21/97 Historical volatility is defined by Sheldon Natenberg, as the standard deviation of the logarithmic price changes measured at regular intervals of time. In Mr. Natenberg's book, Option Volatility & Pricing, he covers volatility in detail and gives theformula for computing...

Merrill's Volatility Mov((Abs(C-Ref(C,-1))*1000),25,E) Source / From: ???