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Natenberg's
Volatility
rev. 01/21/97
Historical volatility is defined by Sheldon Natenberg, as
the standard deviation of the logarithmic price changes measured
at regular intervals of time. In Mr. Natenberg's book, "Option
Volatility & Pricing," he covers volatility in detail
and gives the formula for computing historical volatility.
In MetaStock, the equivalent formula would be:
Std( Log( C / Ref( C ,1 ) ) ,10 ) * Sqrt( 365 / 7 )
The above assumes Weekly Data. To utilise this with Daily
Data, the MetaStock formula would be:
Std( Log( C / Ref( C,1) ),10 ) * Sqrt( 365 )
For further interpretation refer to the book "Option Volatility
& Pricing," by Sheldon Natenberg.
Nat's Volt
Std(log(c/ref(c,1)),10)*sqr(365/7)
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NR4
Formula from Trading Tactics page 100
Column
A
Std(Log(C/Ref(C,1)),5)/Std(Log(C/Ref(C,1)),99)
Column B
HIGHLOW<Ref(LLV(HL,3),1)
Column C
HIGH<(Ref(HIGH,1)AND LOW>Ref(LOW,1))
Column D
HIGH
Column E
LOW
Filter
colA<.5 AND (colB= 1 OR colC= 1)
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