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-------------------------------------------------------------------------------- MetaStock™ Zone • Tworzenie Sytemów • Trader Shop • Forum & FAQ • Artykuły • Linki • Elliott Waves • EasyLanguage™ Zone -------------------------------------------------------------------------------- A B C D E F G H I J K L M N O P R S T U V W Y Z # -------------------------------------------------------------------------------- $HistVol50Prds_Dly . To: . Subject: Re: TC2000 vs QP2 . From: "Bill Coward" . Date: Fri, 18 Dec 1998 15:18:28 -0800 . Reply-To: metastock@xxxxxxxxxxxxx . Sender: owner-metastock@xxxxxxxxxxxxx Bob, I use volatility for the gross screening by TC2000, and I also use it as a final filter against all stocks in the list produced by TC2000. Worden says the following about this indicator: "This indicator is calculated as follows: The stock's weekly percentage rise over the last 13 weeks is summed and averaged. The stock's final volatility is found by dividing its average of 13-week movements by the median value for all stocks." The volatility indicator used for final filtering is one called Historical Volatility, documented in an article by Larry Connors and Linda Raschke in the August, 1996 issue of Stocks and Commodities magazine. The MetaStock code for this indicator follows: $HistVol50Prds_Dly HistVolPrds:= 50; CLOSEPctChg:= C / Ref(C,-1); HistVol:= Stdev(CLOSEPctChg,HistVolPrds) * 16.1245155 {annualize} * 100 {convert to %}; HistVol Note that the factor 16.1245155 used to annualize [SQRT(260 trading days in a year)] is for daily data. If weekly data is being used, use the factor 7.2111026 [SQRT(52)]. Regards, Bill Code:
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| However we try to maintain hiqhest possible level of service - most formulas, oscillators, indicators and systems are submitted by anonymous users. Therefore S4T™ does not take any responsibility for it's quality. If you use any of this information, use it at your own risk. You are responsible for your own trading decisions. Be sure to verify that any information you see on these pages is correct, and is applicable to your particular trade. In no case will S4T™ be responsible for your trading gains or losses. |
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