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Registered User
Joined: 1/15/2005
Posts: 60
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What is the PCF to find Volatile stock?
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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Volatility is already a condition in the system. You can sort or scan with it without having to create a PCF.
- Craig
Here to Help!
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Registered User
Joined: 1/15/2005
Posts: 60
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I can not seem to find it.
Where is it? and how I can do it?
Thanks
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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It is available in the sort and EasyScan. Bring up your SORT BY and type "VOLA" and you should find it. When you add a condition to an EasyScan you can do the same thing. Here are videos on sorting and EasyScan for you to review.
Create your own stock rankings using WatchLists and Sort conditions
Using EasyScan to find stocks that meet your own criteria
- Craig
Here to Help!
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Registered User
Joined: 1/28/2005
Posts: 125
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mshahbazi;
From the TeleChart Help Topics Index,
select: Fundamental Criteria
Volatility is 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."
Or would you prefer a 50-day Historical Volatility PCF?
(Removed by Moderator)
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Registered User
Joined: 1/2/2005
Posts: 132
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ejr39,
Thanks for the volatility primer for us. Interesting.
I'd like to see a 50 day historical volatility PCF (and a 100 day version too!) I love volatile stocks.
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Registered User
Joined: 10/23/2004
Posts: 251
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HISTORICAL VOLATILITY (50-day):
STEP 1
For the past 50 days, calculate: today's close / previous close (requires 51 days of data)
STEP 2
Calculate the natural log of the results calculated in STEP 1.
STEP 3
Calculate the sum of the natural logs over the past 50 days.
Calculate the sum of the squares of the natural logs over the past 50 days.
STEP 4
Divide the sum of the natural logs by 50.......................#1
Divide the sum of the squares of the natural logs by 50........#2
Calculate: RESULT 2 - the square of RESULT 1...................#3
Calculate the (square root of RESULT 3) x (sq. root of 252) x 100
This is the 50-day historic volatility.
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Registered User
Joined: 1/28/2005
Posts: 125
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dhoward,
For us math disabled mortals,
the 50-day Historical Volatility
PCF Name: #1 50-day HV
((SQR((50*((LOG(C/C1))*(LOG(C/C1))+(LOG(C1/C2))*(LOG(C1/C2))+(LOG
(C2/C3))*(LOG(C2/C3))+(LOG(C3/C4))*(LOG(C3/C4))+(LOG(C4/C5))*(LOG
(C4/C5))+(LOG(C5/C6))*(LOG(C5/C6))+(LOG(C6/C7))*(LOG(C6/C7))+(LOG
(C7/C8))*(LOG(C7/C8))+(LOG(C8/C9))*(LOG(C8/C9))+(LOG(C9/C10))*(LOG
(C9/C10))+(LOG(C10/C11))*(LOG(C10/C11))+(LOG(C11/C12))*(LOG(C11/C12))+
(LOG(C12/C13))*(LOG(C12/C13))+(LOG(C13/C14))*(LOG(C13/C14))+(LOG
(C14/C15))*(LOG(C14/C15))+(LOG(C15/C16))*(LOG(C15/C16))+(LOG(C16/C17))
*(LOG(C16/C17))+(LOG(C17/C18))*(LOG(C17/C18))+(LOG(C18/C19))*(LOG
(C18/C19))+(LOG(C19/C20))*(LOG(C19/C20))+(LOG(C20/C21))*(LOG(C20/C21))
+(LOG(C21/C22))*(LOG(C21/C22))+(LOG(C22/C23))*(LOG(C22/C23))+(LOG
(C23/C24))*(LOG(C23/C24))+(LOG(C24/C25))*(LOG(C24/C25))+(LOG(C25/C26))
*(LOG(C25/C26))+(LOG(C26/C27))*(LOG(C26/C27))+(LOG(C27/C28))*(LOG
(C27/C28))+(LOG(C28/C29))*(LOG(C28/C29))+(LOG(C29/C30))*(LOG(C29/C30))
+(LOG(C30/C31))*(LOG(C30/C31))+(LOG(C31/C32))*(LOG(C31/C32))+(LOG
(C32/C33))*(LOG(C32/C33))+(LOG(C33/C34))*(LOG(C33/C34))+(LOG(C34/C35))
*(LOG(C34/C35))+(LOG(C35/C36))*(LOG(C35/C36))+(LOG(C36/C37))*(LOG
(C36/C37))+(LOG(C37/C38))*(LOG(C37/C38))+(LOG(C38/C39))*(LOG(C38/C39))
+(LOG(C39/C40))*(LOG(C39/C40))+(LOG(C40/C41))*(LOG(C40/C41))+(LOG
(C41/C42))*(LOG(C41/C42))+(LOG(C42/C43))*(LOG(C42/C43))+(LOG(C43/C44))
*(LOG(C43/C44))+(LOG(C44/C45))*(LOG(C44/C45))+(LOG(C45/C46))*(LOG
(C45/C46))+(LOG(C46/C47))*(LOG(C46/C47))+(LOG(C47/C48))*(LOG(C47/C48))
+(LOG(C48/C49))*(LOG(C48/C49))+(LOG(C49/C50))*(LOG(C49/C50)))-((LOG
(C/C1))+(LOG(C1/C2))+(LOG(C2/C3))+(LOG(C3/C4))+(LOG(C4/C5))+(LOG
(C5/C6))+(LOG(C6/C7))+(LOG(C7/C8))+(LOG(C8/C9))+(LOG(C9/C10))+(LOG
(C10/C11))+(LOG(C11/C12))+(LOG(C12/C13))+(LOG(C13/C14))+(LOG(C14/C15))
+(LOG(C15/C16))+(LOG(C16/C17))+(LOG(C17/C18))+(LOG(C18/C19))+(LOG
(C19/C20))+(LOG(C20/C21))+(LOG(C21/C22))+(LOG(C22/C23))+(LOG(C23/C24))
+(LOG(C24/C25))+(LOG(C25/C26))+(LOG(C26/C27))+(LOG(C27/C28))+(LOG
(C28/C29))+(LOG(C29/C30))+(LOG(C30/C31))+(LOG(C31/C32))+(LOG(C32/C33))
+(LOG(C33/C34))+(LOG(C34/C35))+(LOG(C35/C36))+(LOG(C36/C37))+(LOG
(C37/C38))+(LOG(C38/C39))+(LOG(C39/C40))+(LOG(C40/C41))+(LOG(C41/C42))
+(LOG(C42/C43))+(LOG(C43/C44))+(LOG(C44/C45))+(LOG(C45/C46))+(LOG
(C46/C47))+(LOG(C47/C48))+(LOG(C48/C49))+(LOG(C49/C50)))*((LOG(C/C1))+
(LOG(C1/C2))+(LOG(C2/C3))+(LOG(C3/C4))+(LOG(C4/C5))+(LOG(C5/C6))+(LOG
(C6/C7))+(LOG(C7/C8))+(LOG(C8/C9))+(LOG(C9/C10))+(LOG(C10/C11))+(LOG
(C11/C12))+(LOG(C12/C13))+(LOG(C13/C14))+(LOG(C14/C15))+(LOG(C15/C16))
+(LOG(C16/C17))+(LOG(C17/C18))+(LOG(C18/C19))+(LOG(C19/C20))+(LOG
(C20/C21))+(LOG(C21/C22))+(LOG(C22/C23))+(LOG(C23/C24))+(LOG(C24/C25))
+(LOG(C25/C26))+(LOG(C26/C27))+(LOG(C27/C28))+(LOG(C28/C29))+(LOG
(C29/C30))+(LOG(C30/C31))+(LOG(C31/C32))+(LOG(C32/C33))+(LOG(C33/C34))
+(LOG(C34/C35))+(LOG(C35/C36))+(LOG(C36/C37))+(LOG(C37/C38))+(LOG
(C38/C39))+(LOG(C39/C40))+(LOG(C40/C41))+(LOG(C41/C42))+(LOG(C42/C43))
+(LOG(C43/C44))+(LOG(C44/C45))+(LOG(C45/C46))+(LOG(C46/C47))+(LOG
(C47/C48))+(LOG(C48/C49))+(LOG(C49/C50))))/(50*50))))*100*16
In an EasyScan,
WatchList to Scan: Your prequalified stock watchlist
[Add Condition]
. PCF Name: #1 50-day HV
_ _ adjust the Range Selector VALUES ... 40 to Max
ejr
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Registered User
Joined: 1/2/2005
Posts: 132
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ejr,
You Rock! Thanks so much for the PCF and definition of how to use it in an Easyscan. You've made my day.
dhoward
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Registered User
Joined: 3/15/2005
Posts: 95
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What exactly is the volatility calculating? Is it the standard deviation? If it returns "75", what does it mean?
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Registered User
Joined: 1/28/2005
Posts: 125
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bradsticker;
Historical Volatility: Trading where the action is!
From Dave Landry on Swing Trading (pages 112 - 113)
. Historical volatility (HV), also know as statistical volatility, is the standard deviation of day-to-day price changes…
. The main thing you should know about HV is that stocks with high HV readings have fluctuated more in the past than stocks with low HV readings … those stocks with higher HV readings will likely fluctuate more in the future than those stocks with lower HV readings…
. … by requiring the stocks have an HV reading of 40% or higher, helps to weed out stocks with less potential.
Is a 75% 50-day HV reading high?
On a scale of 0-100, yes.
However, if one’s practice is to trade only those stocks with an 80% 50-day HV reading, the stocks with a 75% reading won’t make the list.
Above all, know the trend - Historical Volatility is NOT a trend indicator.
Trade well and prosper!
ejr
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Registered User
Joined: 3/15/2005
Posts: 95
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ejr,
Thanks for the response. I am still unclear what your formula yields. If the calculated value is 75 does it mean that 66% (one standard deviation) of the daily price changes are greater than 75 cents? Or is it something else? If the HV is over 100 does that mean that most price movements are greater than $1?
Thanks for your help.
bradsticker
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Registered User
Joined: 1/28/2005
Posts: 125
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bradsticker;
> I am still unclear what your formula yields.
(For us math impaired) HV yields how much a specific stock has fluctuated in the past and is a gauge of how much the stock will fluctuate in the future.
As explained in Dave Landry on Swing Trading (page 112),
... suppose the 50-day HV on a $100 stock is 10%. Assuming a normal distribution of stock prices and that volatility remains the same, this stock has a 66% chance (one standard deviation) of trading between $90 ($100 less 10%) and $110 ($100 + 10%) one year from now.
> If the HV is over 100 does that mean that
> most price movements are greater than $1?
(For the chart reader) It means the stock had a dramatic price fluctuation during the past 50-trading days, maybe a huge gap or a climax run.
Do your own research on Historical
Volatility as it applies to trading:
Connors On Advanced Trading Strategies
. by Larry Connors
Dave Landry on Swing Trading
. by Dave Landry
(removed by Moderator)
Trade well and prosper!
ejr
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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I just wanted to point out an optimization brought up by bustermu in the following topics:
Historical Volatility (HV)
PCF formulation for calculating Standard Deviation
Applying this technique significantly reduces both the size and computation time of ejr39’s Historical Volatility formula.
50-Period HV:
1600*SQR((LOG(C/C1)^2+LOG(C1/C2)^2+LOG(C2/C3)^2+LOG(C3/C4)^2+LOG(C4/C5)^2+LOG(C5/C6)^2+LOG(C6/C7)^2+LOG(C7/C8)^2+LOG(C8/C9)^2+LOG(C9/C10)^2+LOG(C10/C11)^2+LOG(C11/C12)^2+LOG(C12/C13)^2+LOG(C13/C14)^2+LOG(C14/C15)^2+LOG(C15/C16)^2+LOG(C16/C17)^2+LOG(C17/C18)^2+LOG(C18/C19)^2+LOG(C19/C20)^2+LOG(C20/C21)^2+LOG(C21/C22)^2+LOG(C22/C23)^2+LOG(C23/C24)^2+LOG(C24/C25)^2+LOG(C25/C26)^2+LOG(C26/C27)^2+LOG(C27/C28)^2+LOG(C28/C29)^2+LOG(C29/C30)^2+LOG(C30/C31)^2+LOG(C31/C32)^2+LOG(C32/C33)^2+LOG(C33/C34)^2+LOG(C34/C35)^2+LOG(C35/C36)^2+LOG(C36/C37)^2+LOG(C37/C38)^2+LOG(C38/C39)^2+LOG(C39/C40)^2+LOG(C40/C41)^2+LOG(C41/C42)^2+LOG(C42/C43)^2+LOG(C43/C44)^2+LOG(C44/C45)^2+LOG(C45/C46)^2+LOG(C46/C47)^2+LOG(C47/C48)^2+LOG(C48/C49)^2+LOG(C49/C50)^2-(LOG(C/C50)^2)/50)/50)
-Bruce
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