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I hope
that they each give a different value. Otherwise, I wouldn't have provided
three methods. They are three DIFFERENT methods of calculating
volatility. I have at least 25 more. "Volatility" doesn't mean
the same thing to everyone. Some system developers/traders
think in terms of closing price only. This would be especially true
for people who trade mutual funds. Others, want to incorporate the
highs and the lows (ATR).
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Different strokes... for different folks!
<FONT face=Arial color=#0000ff
size=2>
The
one I mentioned first is my "secret weapon". Use it
sparingly!
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Anthony Faragasso
[mailto:ajf1111@xxxxxxxx]Sent: Tuesday, April 15, 2003 7:36
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Average price volatility in
percentChuck,checking your formulas you
posted....they each return a different value....So..what would the real
value be for this **Average price volatility
inpercent**....Filter=1;PercentVolatility1 = StDev(Close,12) /
Close * 100;AddColumn(percentvolatility1,"PV1");PercentVolatility2 =
ATR(10) / Close * 100;AddColumn(percentvolatility2,"PV1");myAverage =
MA(Close,10);NonStdDev =
HHV(abs(Close-myAverage),10);PercentVolatility3 = NonStdDev / Close *
100;AddColumn(percentvolatility3,"PV2");Thankl you Anthony
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