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Graham wrote:
Al
I
originally did the study for
finding stocks with low or high volatility compared to a norm. It
progressed as
after plotting the C v ATR I noticed that there was a common pattern
over a
wide range of stocks. I now have a defined measure of whether a stock
is
trading with high or low volatility relative to its peers.
But Graham, as I wrote in answer to Pal's message, if all you want to
do is compare the volatility of a stock with its peers, you can do that
very quickly by exploring on 100*ATR()/C and sorting the result in
descending order. Have you found your relationship applies at all
times, bullish, bearish, and sideways regardless of market forces,
economic conditions, earnings reports, announcements, etc.?
Al V.
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