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MetaStock
Indicator - Historical
Volatility Daily
rev. 01/21/97
With MetaStock™
for Windows, you can easily plot the 10 and 100
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 Options dialog 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 the Horizontal Lines page. Add a
horizontal line at .5 and then choose the OK
button. You now know the 10 period volatility is
less than half the 100 period volatility anytime
this indicator crosses below its horizontal line.
To test trading
systems using this indicator it would he helpful
to use the alert function along with 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 Volatility
Indicator")<=5,10)
This system will
enter a long trade when the close has crossed
above its 20 day moving average, and when
Historical Volatility Indicator was .5 or lower
within the last 10 days. The system will sell when
the close crosses below its 20 day moving average,
and when Historical Volatility Indicator was .5 or
lower within the last 10 days. Use any indicator
you would like, this just provides a basic example
of how to use this indicator in a system test. |
