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$HistVol50Prds_Dly
. To: <metastock@xxxxxxxxxxxxx>
. Subject: Re: TC2000 vs QP2
. From: "Bill Coward" <wrcoward@xxxxxxxxx>
. 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
Source / From: TOP
http://purebytes.com/archives/metastock/

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