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Historical Volatility System, Connors and Raschke's
Rev. 02/24/97
In the August 96 issue of Stocks & Commodities,
Traders Tips, Allan McNichol explains how to use the
MetaStock Explorer to search for securities based on
Connors and Raschke's historical volatility system.
The following is from his article.
To do this go to The Explorer and choose the New
button. Enter in the following column and filter
formulas.
Col A: Vol ratio Std(Log(C/Ref(C,-1)),5) /
Std(Log(C/Ref(C,-1)),99)
Col B: NR4 day High - Low < Ref(LLV(H-L,3),-1)
Col C: Inside High < Ref(High,-1) AND Low >
Ref(Low,-1)
Col D: High High
Col E: Low Low
Filter ColA < 0.5 AND (ColB = 1 OR ColC = 1)
Run the exploration on the desired securities and
display the report. Column A shows the ratio between
the six-day and 100-day volatility. Column B displays
a 1 if today is a NR4 day and a zero on all other
days. Similarly, column C displays a 1 if today is an
inside day. The high and low are
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