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Registered User
Joined: 4/1/2006
Posts: 7
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I was wondering if anyone could elaborate on the volatility number in the criteria index. Below are the two descriptions from the TeleChart help files:
(Relative Volatility) - This is a measure of the propensity of a stock’s share price to fluctuate widely. This indicator is calculated as follows: The stock’s calendar weekly percentage magnitude change over the last 13 calendar weeks is averaged. The stock’s final volatility is found by multiplying its average by 10.
(Relative Volatility) This is a measure of the propensity of a stock’s share price to fluctuate widely. The stock’s past changes in share price whether up or down, are compared with price changes in all stocks. This indicator is calculated as follows: The stock’s weekly percentage rise over the last 13 weeks is summed and averaged. The stock’s finial volatility is found by dividing its average of 13-week movements by the median value for all stocks.
My questions are:
1) Is there an initial base line number of a zero/no volatility point for all stocks, i.e. a common starting point?
2) Why is the final average/number multiplied by 10?
3) Is ther some way to determine the volatility number as a sliding scale, i.e. as a number between 1 and 10 with 1 being the least volatile and 10 being the most volatile?
It appears that with the volatility criteria description, one has to do a general comparison to quit a few other similar positions to really gain any value from the number as it is not on a relative sliding scale to the whole market. Any thoughts or advice on how this volatily number can be used more exactly would be much appreciated.
As always, thanks for your help.
Noah
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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1) The condition looks at the stock's 13-wk moves. In theory a stock could have no moves in 13 weeks and would return a zero for the moves (and a zero for the criterion).
2) This is likely to make visisble another decimal place.
3) If you add this criterion to EasyScan, use LIST RANK and set as high or low as you like. RANK is set from 1 to 99. If you limit to a LIST RANK of 80 to MAX you will only see those stocks with a higher 13wk volatility than 80% of the other items in the WatchList being scanned.
You could do this with Market Rank as well.
Does that help?
- Craig
Here to Help!
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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More research leads me to believe there is no comparison to the mean of all stocks (the second definition is not accurate).
You can still do a comparison to other stocks via the RANK function in EasyScan.
Check this out: Volatility as per TC2005\
The most updated description is in the online help file:
This is a measure of the propensity of a stock’s share price to fluctuate widely. This indicator is calculated as follows: The stock’s calender weekly percentage magnitude change over the last 13 calender weeks is averaged. The stock’s final volatility is found by multiplying its average by 10
- Craig
Here to Help!
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Registered User
Joined: 4/1/2006
Posts: 7
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Craig,
Thanks for your replies to my post. I think I have a bit better handle on the volatility criteria. I still wonder though, why is "The stock’s final volatility is found by multiplying its average by 10..."? If in fact the final volatility number is basically a numeric/comparative gauge to othe positions, what would the reason be to multiply it by 10? It seems that it is not a real percentage relative to other positions or the market as a whole?
Still a a bit of a loss as to how to use this volatility criteria as a "stand alone gauge. I see how it would be beneficial in an EasyScan but not by itself. Any thoughts on these points/questions?
Thanks,
Noah
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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I agree, the values are somewhat useless out of the context of the rest of the market.
It is best used as a sort or scan criterion.
Isn't volatility really a relative thing anyway?
- Craig
Here to Help!
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Registered User
Joined: 4/1/2006
Posts: 7
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Craig,
Thanks for your thoughts. I have been trying to use the volatility criteria number along with an ATR formula to help me to set stop loss positions on initial purchases. In response to your question "Isn't volatility really a relative thing anyway?", I have been using the volatility number quite relatively; if, in a position I really want to buy, it is bigger than other similar positions, I entertain placing a lower stop loss than I usually might.Pretty scientific, eh?
It certainly seems that the market is becoming more relative daily (to what, seems to depend on the minute) and thus much more volitile, at least for my trading statagies...
Stay well and thanks for the help.
Noah
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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You do the same..
Here is something you might find interesting, plot the following as a Custom Indicator:
Trend/Consolidate 13week
100*(MAXH65-MINL65)/(AVGH65-AVGL65)
It is one way to note a change in the volatility on a stock
- Craig
Here to Help!
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