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Daily Volatility Rate this Topic:
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sevecords
Posted : Thursday, January 03, 2008 6:53:06 PM
Registered User
Joined: 11/18/2005
Posts: 29
I am trying to sort for stocks with high daily volatility.  I wanted to find them by looking for theh average difference between the daily high and low over a time period.  Can this be done?  I couldn't find a formula function that addressed the difference each day over the particular time period.

thanks,

steve
sevecords
Posted : Thursday, January 03, 2008 7:47:00 PM
Registered User
Joined: 11/18/2005
Posts: 29
P.S.  I am looking for average daily percent moves not number of points.

thanks
Craig_S
Posted : Friday, January 04, 2008 8:54:42 AM


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Joined: 10/1/2004
Posts: 18,819
I think I understand what you mean.

Here is something to start with:

Daily high as percent of daily low (20 days)

100*AVGH20/AVGL20

This will return the average daily highs as a percent of the daily lows for the past 20 days.  THe higher the number returned the higher the daily volatility (assuming I understood your request).

Try sorting by it first.

- Craig
Here to Help!
bustermu
Posted : Sunday, January 06, 2008 1:23:26 PM
Registered User
Joined: 1/1/2005
Posts: 2,645

Steve,

The 20 day average of the percent change from the low to the high is given by:

100*((H0/L0+H1/L1+H2/L2+H3/L3+H4/L4+H5/L5+H6/L6+H7/L7+H8/L8+H9/L9
+H10/L10+H11/L11+H12/L12+H13/L13+H14/L14+H15/L15+H16/L16+H17/L17+H18/L18+H19/L19)/20
-1)

Thanks,
Jim Murphy

tsisung
Posted : Saturday, January 12, 2008 12:23:31 AM
Registered User
Joined: 4/3/2005
Posts: 41
Here is what I use:

((AVGH20 - AVGL20) / 2 + (ABS(AVGH20 - AVGC20.1) / 2) + (ABS(AVGL20 - AVGC20.1) / 2)) / C * 100
sobowen
Posted : Saturday, January 12, 2008 6:28:59 PM
Registered User
Joined: 1/31/2005
Posts: 78
I use what I call the Price Movement Range (PMR). PMR (in my terms) is equal to Average Daily Range divided by the Average Price, then multiply by 100 to convert ot percent. Notice that ADR is not an ATR. ADR excludes any intraday gaps. As you probably know, ATR includes intraday gaps.

For example, PMR30 % = 100 * ((AVGH30 - AVGL30)/AVGC30)

This is simple and precise enough for me.
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