| Welcome Guest, please sign in to participate in a discussion. | Search | Active Topics | |
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
|
|
Registered User
Joined: 11/18/2005
Posts: 29
|
P.S. I am looking for average daily percent moves not number of points.
thanks
|
|
Worden Trainer
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!
|
|
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
|
|
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
|
|
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.
|
|
|
Guest-1 |