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Harold,
Not long ago I posted the DMI indicator which uses volatility to
determine its lookback periods. That formula is :
Vt:=(Stdev(C,5)/Mov(Stdev(C,5),10,S))*10;
Vt:=Max(vt,.0000001);
To specifically answer your questions, here are the formulas:
1) The daily change in closing price
A:=ROC(C,1, % );
or
B:=C - ref(C,-1);
2) 5-day avg of the daily closing price changes
mov(A,5,S)
or
mov(B,5,S)
3) the daily change in the standard deviation of the 10-day avg
closing price.
X:=mov(C,10,S);
Y:=Stdev(X,10);
Z:=roc(Y,1,%);
The problem that I see in interpreting #3 is if we should be using 10
or 1 for the standard deviation periods. As soon as my copy of the
mag comes in I'll take a look at it to see which is correct.
Preston
Preston
--- In equismetastock@xxxxxxxxxxxxxxx, "hcour" <halcour@xxxx> wrote:
>
> In the Nov Futures mag there is an indicator called the Volatility
> Oscillator which consists of three parts: 1) The daily change in
> closing price, 2) 5-day avg of the daily closing price changes, 3)
the
> daily change in the standard deviation of the 10-day avg closing
price.
>
> I've got the first 2 plotted, no problem. Could someone help w/the
> code for the third part, the std dev? Here is how it's written in
the
> article:
>
> STD[mean(day^1:day^10] ~n
> STD[mean(day^0:day^9)]
>
> Except the ~ symbol is actually over the letter "n".
>
> I never got past Algebra I, so this is beyond moi. I know MS has a
Std
> Dev indicator, but I don't know how to code it.
>
> Thanks for any help,
> Harold
>
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