20 day historical volatility

Discussion in 'Index Futures' started by masterm1ne, Aug 10, 2012.

  1. 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:

    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?
  2. 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
  3. WD40


    all you needed is the ATR
  4. WD40


    if you want to push it, do an ATR of H and L.
  5. (Average(atr,n)/average(c,n))*100
  6. 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.
  7. My goal was to be able to compare contract volatilities, so I need a method to put the value into a percentage term, rather than simply just comparing ATR of one contract to another.
  8. In case anyone cares:

    I was looking for:

    TimeFrame = 20
    ( avgtruerange ( TimeFrame ) / C ) * 1000 ; 
    Than you jficquette

    This gives u a % value that you can then use to compare how volatile an instrument is to anther one.