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 Volatility as per TC2005 Rate this Topic:
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bustermu
 Posted : Friday, December 9, 2005 3:24:01 PM
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Joined: 1/1/2005
Posts: 2,645

Just a note that this is no longer applicable. The current formula is something similar to the following and is calculated on a daily basis.

(1000 * (ABS(C / C5 - 1) + ABS(C5 / C10 - 1) + ABS(C10 / C15 - 1) + ABS(C15 / C20 - 1) + ABS(C20 / C25 - 1) + ABS(C25 / C30 - 1) + ABS(C30 / C35 - 1) + ABS(C35 / C40 - 1) + ABS(C40 / C45 - 1) + ABS(C45 /C50 - 1) + ABS(C50 / C55 - 1) + ABS(C55 / C60 - 1) + ABS(C60 / C65 - 1)) /13) \ 1

In Help Topics, under Fundamental Criteria there appears:

Volatility
(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.

The last part of this description should read something like:

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 finial volatility is found by multiplying its average by 10.

The important points are:

1) Calender weeks are used, not 5 day weeks.
2) Magnitudes of the percentages changes are used, not percentage rise.
3) The resulting value is found by multiplying the average by 10, not by dividing by the median of the averages.

A PCF for calculating the Volatility for 12/02/05 valid as of the ciose on 12/08/05 is:

1000*(ABS(C4-C9)/C9+ABS(C9-C13)/C13+ABS(C13-C18)/C18+ABS(C18-C23)/C23
+ABS(C23-C28)/C28+ABS(C28-C33)/C33+ABS(C33-C38)/C38+ABS(C38-C43)/C43
+ABS(C43-C48)/C48+ABS(C48-C53)/C53+ABS(C53-C58)/C58+ABS(C58-C63)/C63
+ABS(C63-C67)/C67)/13

The PCF is not intended for future use without modification, it is intended to show how Volatility is calculated only. Notice that two Holidays are accounted for.

Percentile rankings are determined by some method unknown to me, but they are not off by drastic amounts. For example, 90 percentile stocks may read something like 87 percentile.

Any comments will be appreciated.

Thanks,
Jim Murphy

 Posted : Sunday, August 6, 2006 1:02:55 PM
Gold Customer

Joined: 3/16/2005
Posts: 13
I have a couple of questions(points of interest?)concerning bustyermu's posting on volatility. To begin with I'm not too clear on the meaning of magnatude here. Is it refering to the individual stock's ave.true range or a cumlative gain (or loss ) in price. Also, by definition this is a comparison of an individual stock to all stocks. If the value of an individual stock is found by multiplying by 10 instead of dividing by the median of all stock averages where is the relative comparison unless it is done by ranking?
Bruce_L
 Posted : Sunday, August 6, 2006 1:26:01 PM

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Joined: 10/7/2004
Posts: 65,138
Here is the current reference for Volatility under Technical Criteria in the Criteria Descriptions section of the Online Help Files:

Volatility - (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 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.

The magnitude mentioned has nothing to do with Average True Range. It is the absolute value of Price Net Change. No comparison is made to other stocks.

-Bruce
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bustermu
 Posted : Sunday, August 6, 2006 3:14:17 PM
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Joined: 1/1/2005
Posts: 2,645
QUOTE (Bruce_L)
The magnitude mentioned has nothing to do with Average True Range. It is the absolute value of Price Net Change. No comparison is made to other stocks.

Bruce,

I am going to modify you statement a little to:

__________________________

The magnitude mentioned has nothing to do with Average True Range. It is the absolute value of Price Percent Change. No comparison is made to other stocks except by Percentile Rank in the Data Sheet.

__________________________

Thanks,
Jim Murphy.
Bruce_L
 Posted : Sunday, August 6, 2006 8:31:43 PM

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Joined: 10/7/2004
Posts: 65,138
QUOTE (bustermu)
The magnitude mentioned has nothing to do with Average True Range. It is the absolute value of Price Percent Change. No comparison is made to other stocks except by Percentile Rank in the Data Sheet.

Sounds good to me.

-Bruce
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poudel
 Posted : Saturday, December 29, 2018 11:49:45 PM
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Joined: 12/5/2018
Posts: 3

hello im Tek Poudel my email is tekpoudel10@gmail.com

poudel
 Posted : Saturday, December 29, 2018 11:54:01 PM
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Joined: 12/5/2018
Posts: 3

QUOTE (poudel)

poudel
 Posted : Sunday, December 30, 2018 12:37:20 AM
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Joined: 12/5/2018
Posts: 3

How I convert this into the formula

PRICE  CONTRACTION  SCAN ON TC2000

1)      Dry up in price volatility within a range near 10-weeks moving average ( but can be near the 10,20, or 50 ma on daily).

2)      Sort results by lightest volume VS 10-week Volume Moving average.

3)      Apply  relative price filter to list (optional)

Bruce_L
 Posted : Wednesday, January 2, 2019 3:03:29 PM

Worden Trainer

Joined: 10/7/2004
Posts: 65,138

I actually do not know what conditions are being used in the scan in the video based on the descriptions.

Based on the verbal description, I would guess Average True Range (ATR) is being used for volatility, and not the Price Volatility being described in this topic.

-Bruce
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