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 Forums ›› Futures Trading ›› Index Futures ›› 20 day historical volatility

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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? Edit/Delete • Quote • Complain
 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 Edit/Delete • Quote • Complain
 WD40   Registered: Dec 2005 Posts: 420 08-11-12 12:28 AM all you needed is the ATR Edit/Delete • Quote • Complain
 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. Edit/Delete • Quote • Complain
 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 Edit/Delete • Quote • Complain
 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. Edit/Delete • Quote • Complain
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