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Historical Volatility System by Connors and Raschke
Rev. 02/24/97 In the August 96 issue of Stocks & Commodities, Traders Tips,
Allan McNichol explains how to use the MetaStock Explorer to search for securities based on Connors and Raschke's historical volatility system. The following is from his article.

To do this go to The Explorer and choose the New button. Enter in the following column and filter formulas.

 


Historical Volatility System

Col A: Vol ratio
Std(Log(C/Ref(C,-1)),5) / Std(Log(C/Ref(C,-1)),99)

Col B: NR4 day
High - Low < Ref(LLV(H-L,3),-1)

Col C: Inside
High < Ref(High,-1) AND Low > Ref(Low,-1)

Col D: High
High

Col E: Low
Low

Filter:
ColA < 0.5 AND (ColB = 1 OR ColC = 1)

 

 
Run the exploration on the desired securities and display the report. Column A shows the ratio between the six-day and 100-day volatility. Column B displays a 1 if today is a NR4 day and a zero on all other days. Similarly, column C displays a 1 if today is an inside day. The high and low are displayed in columns D and E to determine the entry points.

--Allan J. McNichol, Equis International
   
   
Source / From: TOP
http://www.equis.com

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