February 2013: The Volatility Switch Indicator

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February 2013: The Volatility Switch Indicator - February 2013: The Volatility Switch Indicator

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MS Support		#1 Posted : Thursday, February 7, 2013 12:09:22 PM(UTC)
Rank: Advanced Member Groups: Moderators, Registered, Registered Users, Subscribers Joined: 10/8/2010(UTC) Posts: 1,967 Thanks: 93 times Was thanked: 156 time(s) in 151 post(s)		Ron McEwan’s article, “The Volatility (Regime) Switch Indicator” explained how to calculate the indicator of the same name. This can be added to MetaStock with the following formula: dr:= ROC(C,1,$)/Mov(C,2,S); vola:= Stdev( dr, 21); ( (Ref( vola, -1) <= vola ) + (Ref( vola, -2) <= vola ) + (Ref( vola, -3) <= vola ) + (Ref( vola, -4) <= vola ) + (Ref( vola, -5) <= vola ) + (Ref( vola, -6) <= vola ) + (Ref( vola, -7) <= vola ) + (Ref( vola, -8) <= vola ) + (Ref( vola, -9) <= vola ) + (Ref( vola, -10) <= vola ) + (Ref( vola, -11) <= vola ) + (Ref( vola, -12) <= vola ) + (Ref( vola, -13) <= vola ) + (Ref( vola, -14) <= vola ) + (Ref( vola, -15) <= vola ) + (Ref( vola, -16) <= vola ) + (Ref( vola, -17) <= vola ) + (Ref( vola, -18) <= vola ) + (Ref( vola, -19) <= vola ) + (Ref( vola, -20) <= vola ) + 1) / 21


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wabbit		#2 Posted : Thursday, February 7, 2013 4:26:08 PM(UTC)
Rank: Advanced Member Groups: Registered, Registered Users, Subscribers, Unverified Users Joined: 10/28/2004(UTC) Posts: 3,111 Location: Perth, Western Australia Was thanked: 16 time(s) in 16 post(s)		If preferred, you can make the code more flexible and easier to manage (but slower to execute) by using the "famous" PREV trick: Code: `prd:=Input("Periods",1,1000,21); dr:= ROC(C,1,$)/Mov(C,2,S); vola:= Stdev(dr, prd); {plot} Sum(vola<=LastValue(vola+PREV*0),prd)/prd;` wabbit [:D]


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