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thank you,
Fulvio
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=kevin_barry@xxxxxxxxxxxxxx
href="">Kevin
To: <A
title=Metastockusers@xxxxxxxxxxxxxxx
href="">Metastockusers@xxxxxxxxxxxxxxx
Sent: Monday, March 22, 2004 4:02
PM
Subject: Re: [Metastockusers] high
volatility
Hello Fulvio,Here is the standard measure of
volatility, 20 day volatility in this case:Std(Log(C/Ref(C,-1)),20) *
Sqr(365)*100You can plot it as an indicator and judge for yourself
what is low volatility in your book. One equity's high volatility will not be
the same for another. Therefore, you need to scan for low RELATIVE volatility
rather than low absolute volatility. You can change 20 to a different period.
Also, a lot of people use the number of trading days in the year (250-ish)
rather than the number of calendar days for the calculation.Here is a
less sophisticated approach but it works for me.Create these two
indicators (call them what you like):KB Volatility HHV-LLV 10: ((
HHV(H,10 ) - LLV(L,10))/C) * 100KB Volatility LLV Year HHV-LLV 10: LLV(
Fml("KB Volatility HHV-LLV 10"),253)Exploration:ColA: 5%
LowFml("KB Volatility HHV-LLV 10") <(1.05*(Fml("KB Volatility LLV
Year HHV-LLV 10")))ColB: 10% LowFml("KB Volatility HHV-LLV 10")
<(1.10*(Fml("KB Volatility LLV Year HHV-LLV 10")))Etc.
etc.This exploration identifies equities where the 10 day trading
range is within 5% or 10% of the 10 day trading range for the year. Amend to
suit yourself.I hope that helps you. If you're an options trader, it's
a decent way of identifying potential strangle
candidates.Regards,KevinAt 11:58 22/03/2004
+0100, you wrote:
in a exploration how I can reject stocks
with low volatility?Thanks<FONT color=#003399
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