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If you have an oscillator that turns with price and is fairly smooth,
you might try rolling your own.
For instance, consider oscillator "Yellow" that has a median point of 0.
if yellow crosses above 0 or yellow crosses below 0 then begin
yellowX3=yellowX2;yellowX2=yellowX;yellowX=currentbar;
yellowF=(yellowX-yellowX3)/2;
end;
At this point, you have three crossings of the median point by the
oscillator. Three points gives you two distances. Divide the sum of
the two distances by two and you have an average frequency.
You could do the calcs with more than two crossings if your
oscillator is very busy and tends to cross the median point a lot.
if currentbar-yellowX2 > 2*yellowF then yellowF=(currentbar-yellowX2)/2;
The above line of code allows the average frequency value to change
if the oscillator has not crossed the median point but it's distance from
the last crossing added to the previous crossing exceeds the current
average frequency value "YellowF".
In theory, small frequency values will occur in choppy markets and
large ones in trending markets.
In regards to the second part of your question, you could accumulate
the highest high and lowest low of these distances to get a range value
for the crossings. You could also save the closing values at crossings
to get the slope(or delta).
Dividing the C delta of the two distances by the sum of the two
distances should give you a delta value. Use the same process for
determining range. I refer to range simply because it might be a
good measure of the anguish one would have to endure to achieve
a desired delta.
dbs
Gerald Marisch wrote:
> Is there a number-indicator that reflects the "volatility" of an equity?
>
> I'm hoping there is such an number-indicator that, for instance, a number of
> "10" would indicate the equity has a lot of up-and-down trends whereas as
> number of "1" would indicate the equity's prices trend in a confined
> horizontal channel.
>
> If the equity has a number of "10", is there another indicator number that
> would indicate HOW MUCH of a "10" there is?
>
> For instance, consider Equity A whose price moves between 25 and 27. This
> would be a "1".
>
> Equity B's price moves between 10 and 35. This would be a "10" with a
> "delta" of 25.
>
> Equity C's price moves between 5 and 45. This would be a "10" with a
> "delta" of 40.
>
> For trading, C would be better than B. A would be good for "buy and hold".
>
> Any answers of suggestions?
>
> HAPPY NEW YEAR TO ALL!
>
> Gerald Marisch
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