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Historical Volatility
rev. 01/21/97

With MetaStock for Windows, you can easily plot the 10 and100 day Historical Volatility.
First use the Indicator Builder to enter the following Custom indicators:


Historical Volatility 10 day

Std(Log(C/Ref(C,-1)),10)*Sqrt(365)*100

 

 

Historical Volatility 100 day

Std(Log(C/Ref(C,-1)),100)*Sqrt(365)*100

 

Next plot both indicators in the same inner window. If the Scaling Optionsdialog appears, choose the Merge with Scale on Right (or left) option.

I find it easier to see the Historical Volatility signals by combining the 10 and 100 day indicators into the following indicator.

 


Historical Volatility Indicator

Std(Log(C/Ref(C,-1)),10)/Std(Log(C/Ref(C,-1)),100)

 

Plot this indicator in MetaStock for Windows, then click your mouse button on the indicator.
Choose Historical Volatility Indicator Properties and then choose theHorizontal Lines page.
Add a horizontal line at .5 and then choose the OK button. You nowknow the 10 period volatilityis less than half the 100 period volatility anytime this indicatorcrosses below its horizontal line.

To test trading systems using this indicator it would he helpful touse the alert function alongwith a trend following indicator, such as the following example:

Enter Long: Cross(CLOSE,Mov(C,20,E)) AND Alert(Fml("Historical Volatility Indicator")<=5,10)

Enter Short: Cross(Mov(C,20,E),CLOSE) AND Alert(Fml("Historical VolatilityIndicator")<=5,10)

This system will enter a long trade when the close has crossed aboveits 20 day moving average,and when Historical Volatility Indicator was .5 or lower within thelast 10 days.
The system will sell when the close crosses below its 20 day movingaverage, andwhen Historical Volatility Indicator was .5 or lower within the last10 days.
Use any indicator you would like, this just provides a basic exampleof how to usethis indicator in a system test

Source / From: TOP
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