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masterm1ne

Registered: Dec 2009
Posts: 802

08-10-12 09:54 PM

After reading about how volatility (price movement) can impact a traders results, I had an epiphany. It might be worthwhile to trade the most volatile contracts, since trading profits come directly from price movement.

I've been researching how to program a 20 day historical volatility indicator in easylangauge.

So far, the base formula would look like:

code:
StdDev( Log( average( (c/ c[1]) , 20 ) ) ) * SquareRoot(365) * 100

This seems like it would yield volatility as a percentage measurment so that one could compare how volatile one contract is to another.

Is my thinking incorrect?

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jeb9999

Registered: Feb 2008
Posts: 1864

08-10-12 10:39 PM

For comparison purposes it makes more sense to just use the n day high/low range as a percent.

(n day high - n day low)/(n day high + n day low) * 200

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WD40

Registered: Dec 2005
Posts: 420

08-11-12 12:28 AM

all you needed is the ATR

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WD40

Registered: Dec 2005
Posts: 420

08-11-12 12:29 AM

if you want to push it, do an ATR of H and L.

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jficquette

Registered: Jun 2002
Posts: 4409

08-11-12 12:56 AM

Quote from WD40:

all you needed is the ATR

(Average(atr,n)/average(c,n))*100

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masterm1ne

Registered: Dec 2009
Posts: 802

08-13-12 09:03 PM

Quote from jficquette:

(Average(atr,n)/average(c,n))*100

This seems correct. I'll try this when i get home. My original formula that I copied from some site doesn't give me a consistent result that lets me compare contracts.

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