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Is anyone aware if Jack Schwager's Volatility Ratio has been coded for MetaStock.
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Rank: Advanced Member
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I have got this formula for volatlity ratio as used by Connors and Ratscke:
VR:=Std(Log(C/Ref(C,-1)),5)/Std(Log(C/Ref(C,-1)),99);
Do not know if it is what you are looking for.
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Rank: Advanced Member
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Hi minnamor,
Thanks for your response, however the code looks significantly different from what i would expect.
Perhaps I should have included the following details in my initial post (my 1st attempt so please forgive me):-
VR = True Range / True Range for the past "n" periods.
Whilst "True Range" is part of the calculation of ATR, I believe there is a difference between the two.
Regards,
oztrader
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Rank: Advanced Member
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oztrader, There are many different ways to achieve what you think you mean, unfortunately as you have not fully defined what you think you mean to us, so I will have a guess and provide a few possible solutions. First, True Range can be defined using the built in MS indicator: or, you can define your own using: Code:r1:=H-L;
r2:=Abs(Ref(C,-1)-H);
r3:=Abs(Ref(C,-1)-L);
TrueRange:=Max(Max(r1,r2),r3);
{plot/return}
TrueRange;
Now we have the TrueRange defined (the numerator) we can try to define what you mean in your denominator term "True Range for the past "n" periods." You might try: Code:n:=10;
myVolatility:=ATR(1)/ATR(n);
{plot/return}
myVolatility;
or, maybe: Code:n:=10;
myVolatility:=ATR(1)/Sum(ATR(1),n);
{plot/return}
myVolatility;
or, what about: Code:n:=10;
myVolatility:=ATR(1)/HHV(ATR(1),n);
{plot/return}
myVolatility;
or, even: Code:n:=10;
zero:=Power(10,-30);
myVolatility:=(ATR(1)-LLV(ATR(1),n))/Max(HHV(ATR(1),n)-LLV(ATR(1),n),zero);
{plot/return}
myVolatility;
Remember, you have to define EXACTLY what you think you mean so that it can be correctly programmed, but I hope one of these might help... wabbit [:D]
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Rank: Advanced Member
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oztrader, Following our phone conversation today I did a liitle more reading about Schwager, and although I did not find any exact definitions of his code, I did manage to glean this code by combining several different "descriptions" of his volatiliy ratio: Code:{Volatility Ratio - Schwager}
n:=Input("Periods",1,253,14);
zero:=Power(10,-10);
r1:=H-L;
r2:=Abs(H-Ref(C,-1));
r3:=Abs(Ref(C,-1)-L);
TrueRange:=Max(Max(r1,r2),r3);
TrueHighPds:=Max(HHV(H,n),Ref(C,-n));
TrueLowPds:=Min(LLV(L,n),Ref(C,-n));
TrueRangePds:=TrueHighPds-TrueLowPds;
VolatilityRatio:=TrueRange/Max(TrueRangePds,zero);
{plot VR}
VolatilityRatio;
Hope this helps. wabbit [:D] [edited: following even more discussions...]
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Rank: Advanced Member
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an interesting formula Wabbit, but I don't see where it is of any use projected onto a chart. like most volatility-type indicators (the ATR & the RVI as well as Chaikin's vol) it is very hard to draw any conclusions as to the stock involved. but this one even more so, I mean it tells me nothing!
my favorite in this class of indicators would have to be the CBOE, known as ^VIX, as long as you remember to read it upside-down. but I don't think that one is designed for general use.
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Rank: Advanced Member
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Location: Perth Western Australia
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Hi Wabbit,
I take on board your comment re "what am I really requesting in this code" and it has been a enlightening journey working thru the alternatives.
Your latest posting covers what I was chasing and as such I thankyou for your assistance and patience.
Regards,
oztrader
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Rank: Advanced Member
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Hi amory,
Although this question has been directed to Wabbit and he may well respond, I am interested in a variety of volatility codes to test in mechanical systems, either mutually or exclusively, and I have an affinity to indicators related to the ATR. From Wabbit's viewpoint I may well be a lost sole looking for a dense forest to fulfil my destiny.
Cheers,
oztrader
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Rank: Advanced Member
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amory,
Although this indicator might not be of use on its own; like many of the volatility indicators, this function can be employed to do "other jobs" like adjust the length of a moving average, RSI or other indicators etc.
This code produces values between zero and one, so we might multiply this result by a factor then create a variable moving average that is shorter in periods of low "volatility" and longer in high "volatility". Obviously, we can reverse this if we like.
Hope this helps.
wabbit [:D]
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Rank: Advanced Member
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Joined: 7/12/2007(UTC)
Posts: 134
Location: Perth Western Australia
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Hi Amory,
I appologise for being somewhat flippant in my reply last night.
The Volatility Ratio has been used to identify "Wide-Ranging Days" when used in association with Trend Reversal (refer to incrediblecharts.com).
Regards,
oztrader
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