Discussions
»
Product and Service Development
»
Formula Assistance
»
Historical Volatility System, Connors and Raschke's
Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 9/8/2004(UTC) Posts: 2,266
Was thanked: 1 time(s) in 1 post(s)
|
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)
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.
|
|
|
|
Users browsing this topic |
Guest (Hidden)
|
Discussions
»
Product and Service Development
»
Formula Assistance
»
Historical Volatility System, Connors and Raschke's
Forum Jump
You cannot post new topics in this forum.
You cannot reply to topics in this forum.
You cannot delete your posts in this forum.
You cannot edit your posts in this forum.
You cannot create polls in this forum.
You cannot vote in polls in this forum.