Rank: Newbie
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Joined: 9/15/2010(UTC)
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I am trying to undertake/develop/find an exploration to search for stocks that have a 20 day SV within a percentile band. Typically I would look for 20 day SV above 70 to sell option contracts against & 20 day SV below 30 to buy options against an underlying. The percentile would usually be over a minum look back period of between 250 & 400 days.
Is anybody able to assist with a suitable exploration.
Thanks
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Rank: Advanced Member
Groups: Registered, Registered Users
Joined: 11/7/2005(UTC)
Posts: 602
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I would define the "statistical volatility" in an indicator first before jumping into the exploration. What formula are you going to use for the probability distribution?
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Rank: Newbie
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Here is the code for the SV I use----Std(Log(C/Ref(C,-1)),20)*Sqrt(365)*100-----
To get the Percentile my simplified understanding is we need to determine the High & the low over a specified period to determine the range. Next step is to rank in order how may readings are under/over todays SV & from from here put it into a percentile. I know in Amibroker they have a function being:
percentile ( array, period )---Does something similiar exist is Metastock? If it does I can use the Fml function with my SV however if a percentile function does not exist in MS I fear the math/coding may be beyond me. Any advice would be appreciated
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Rank: Advanced Member
Groups: Registered, Registered Users
Joined: 11/7/2005(UTC)
Posts: 602
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How about something like this:
p1:=Std(Log(C/Ref(C,-1)),20)*Sqrt(365)*100;
{------------------------------------}
a0:=(p1-Ref(p1,-1));
a1:=(C-Ref(C,-1))/Ref(a0,-1);
a2:=If(a1>50,50,If(a1<-50,-50,a1));
{------------------------------------}
b1:=Std(a2*(a2>0),20);
b2:=Std(a2*(a2<0),20);
b1;-b2;
c1:=Mov(C,20,S);
c2:=(C-c1);
c2
Plot with 3 different colors.
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Rank: Newbie
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Joined: 9/15/2010(UTC)
Posts: 3
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John
Thanks for your help however I am a little confused as relates to how I load this into metastock & plot with 3 colours etc. I am learning to write basic code however this has lost me a little, I will have a good look to ascertain the math behind your code and hopefully from there gain a greater understanding of what you have put forward.
Thanks
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