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MetaStock
Formula - Historical
Volatility System Connor 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.
| 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) |
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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 |
