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Wilder Volatility Index System by J. Welles Wilder Jr.
rev. 6/06/98

In his book New Concepts in Technical Trading Systems,J. Welles Wilder Jr. talks about volatility and describes his Volatility Index and Volatility System. Both of these can be performed in MetaStock for Windows.This document describes how to construct both the index and the system.

The Volatility Index (VI) is described by Wilderas:

VI Today = (13 * VI Prev + TR1) / 14 *where TR1istoday's true range.

He defines the true range as the greatest of the following:

1.The distance from today's high to today'slow
2.The distance from yesterday's closeto today'shigh, or
3.The distance from yesterday's closeto today'slow.

In MetaStock version 6.0 or higher you would use the Prev function and a one period Average True Range to construct the Volatility Index. The custom formula is written as:


Volatility Index

(13 * Prev + ATR(1)) / 14

 


Wilder Volatility Index Trading System


Enter Long

Cross(C,Ref(LLV(C,7),-1)+(Ref(ATR(7),-1)*3))

Enter Short

Cross(Ref(HHV(C,7),-1)-(Ref(ATR(7),-1)*3),C)

 

Source / From: TOP
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