Bottoms up !!

Discussion in 'Strategy Development' started by Babak, Dec 29, 2002.

  1. Babak

    Babak

    I've tried to reproduce the data/graphs mentioned in the following article:

    http://www.zealllc.com/2002/vola.htm

    The basic definition of 'volatility' as used in the article is (High-Low) divided by Yesterday's Close. Then this raw data is smoothed using a simple 25 day moving average.

    Seems simple right? But somehow I don't get the same result. Not even close! But I think I've done the spreadsheet correctly (see below).
    :confused:
    I would appreciate if anyone would take a look at this and maybe find what I've missed or done incorrectly. Thanks in advance.

    btw...I truncated the data as it would have been too big to upload.
     
  2. Babak

    Babak

    111 views....19 downloads of the Excel file and no comments?

    :confused:
     
  3. Well one thing I can tell you is that I have been saying this same thing for about 18 months...

    "As I have written in countless past essays on these chaotic markets, supercycle bubble busts always, 100% of the time, ultimately sweep stocks far down to pitiful valuations based on P/E multiples of well under historical fair value, which is 13.5x earnings."

    When I said I was using P/E to help pick stocks ripe for shorts, this is exactly what I meant.

    Babak what part of the article talks about the volatility calculation? The reason I ask is that you say "basically", which leads me to believe you interpet it to be so... maybe the error is there. The excel code looks accurate otherwise.

    :)

    Edit: found it...
     
  4. Okay got it. Geez man it's 1:00 am. What the heck am I doing up figuring this out?

    Babak here is the deal. That chart ends at Aug 2 or so, which is your cell 107 and point 111 on your chart. So your chart should end there. Now, you also have your scaling so much different it is messing with you. I scrunched your x axis down to about the same distance as on the chart at the website for the same period you have charted, ie aug 2002 back to jan 01.

    Then change your y axis to 8 instead of 18. If you can go back even more with your data points you will get that really tall spike from several days earlier too.

    You should be able to see that you have the same chart then, so just fiddle with your x and y axis scaling a bit more and it will look exactly like it.


    :)
     
  5. m22au

    m22au

    If you're going to be looking at the 25 DMA only, the Y axis scale can be compressed to min=1.5 and max=5

    You can see from Hamilton's original chart that the 25 DMA has not been over 5 since late 2000 / early 2001, and that since 2001 it has only dipped below 2 for a handful of weeks, in the first half of 2002.
     
  6. Aussies always gotta show us yanks up!

    Happy New Year down under!

    :)
     
  7. m22au

    m22au

    Thanks ... only 5 and a bit hours to 2003 here :)
     
  8. Babak

    Babak

    Thanks guys. Really appreciate it. It was starting to drive me crazy.

    Have a happy, healthy and profitable new year! :)