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chris100
 Posted : Wednesday, August 29, 2012 6:29:52 PM
Gold Customer

Joined: 7/28/2011
Posts: 14

Is there an indicator or PCF that acts similar as ATR except shows it in percentage based on price. For example, instead of showing stocks that have a 14 day ATR of .7 I want the stock to average at least 1% volatility for the past 14 day. Thanks.

chris100
 Posted : Wednesday, August 29, 2012 7:11:07 PM
Gold Customer

Joined: 7/28/2011
Posts: 14

This is what I came up with for an indicator if anyone is interested:

((h14/l14-1)+(h13/l13-1)+(h12/l12-1)+(h11/l11-1)+(h10/l10-1)+(h9/l9-1)+(h8/l8-1)+(h7/l7-1)+(h6/l6-1)+(h5/l5-1)+(h4/l4-1)+(h3/l3-1)+(h2/l2-1)+(h1/l1-1))/14

Bruce_L
 Posted : Thursday, August 30, 2012 8:08:27 AM

Worden Trainer

Joined: 10/7/2004
Posts: 64,759

That's a pretty nice structure based on Highs and Lows. It does run on days 1 through 14, so it is going to exclude the current bar from its calculations. Using bars 0 through 13 to include the current bar and multiplying it by 100 to convert it to percentage would result in:

100 * ((H / L + 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) / 14 - 1)

Something similar based on True High and True Low instead would be a bit longer.

100 * (((H + C1 + ABS(H - C1)) / (L + C1 - ABS(L - C1)) + (H1 + C2 + ABS(H1 - C2)) / (L1 + C2 - ABS(L1 - C2)) + (H2 + C3 + ABS(H2 - C3)) / (L2 + C3 - ABS(L2 - C3)) + (H3 + C4 + ABS(H3 - C4)) / (L3 + C4 - ABS(L3 - C4)) + (H4 + C5 + ABS(H4 - C5)) / (L4 + C5 - ABS(L4 - C5)) + (H5 + C6 + ABS(H5 - C6)) / (L5 + C6 - ABS(L5 - C6)) + (H6 + C7 + ABS(H6 - C7)) / (L6 + C7 - ABS(L6 - C7)) + (H7 + C8 + ABS(H7 - C8)) / (L7 + C8 - ABS(L7 - C8)) + (H8 + C9 + ABS(H8 - C9)) / (L8 + C9 - ABS(L8 - C9)) + (H9 + C10 + ABS(H9 - C10)) / (L9 + C10 - ABS(L9 - C10)) + (H10 + C11 + ABS(H10 - C11)) / (L10 + C11 - ABS(L10 - C11)) + (H11 + C12 + ABS(H11 - C12)) / (L11 + C12 - ABS(L11 - C12)) + (H12 + C13 + ABS(H12 - C13)) / (L12 + C13 - ABS(L12 - C13)) + (H13 + C14 + ABS(H13 - C14)) / (L13 + C14 - ABS(L13 - C14))) / 14 - 1)

-Bruce
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