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Strategies & Market Trends : A.I.M Users Group Bulletin Board -- Ignore unavailable to you. Want to Upgrade?

To: Jack Jagernauth who wrote (13048)	10/4/2000 12:52:09 PM
From: aptus	Read Replies (1) \| Respond to of 18928

Hello Jack, Using Automatic Investor to analyze historical data and display the results is a great way to determine AIM-ability. The frequency and amplitude method is simply another way. It basically counts the number of times over the past 250 trading days that the 26 week average price has differed from the actual price (exactly half way in the 26 week period) by more than 15%. It does this for the open, high, low, and close prices and adds the 4 values together to determine the volatility rating. I've tested this on about 25 stocks and funds and it seems to work as I expect. However, since it is using a relatively short-term time frame, perhaps your results with GAC.TO and CTRA.TO aren't coming up as you expect because you're used to a longer time frame. You can also try plugging in different end dates to see if the results are more in line with what you expect. However the tool is just another way to determine a stock's volatility. One of the things I'm toying with right now is to make the time frame user-selectable. Therefore you could conceivably use it to measure volatility over longer periods (not just 250 trading days). In the end, however, I think everyone has to use the screens with which they are comfortable and if your methods are giving you good results, then there's no reason to change. When I saw Barry's algorithm, I liked the theory behind it (the whole frequency and amplitude thing), so I implemented it. Thanks for your feedback, please let me know if you have anymore comments. Regards, Mark.

To: Jack Jagernauth who wrote (13048)	10/9/2000 11:20:55 AM
From: labestul	Respond to of 18928

Hi Jack, I have just returned to find much discussion here about "my volatility measure" and its implementation by Mark. By definition it will only measure the volatility over a period of 250 consecutive trading days and the latest trading day to appear in the formula is 65 trading days before the current trading day. Of course the most recent 65 trading days contribute to the measure as do the 65 trading days preceding the 250 day period. Thus any activity of a stock more than 380 trading days prior to the measure will not be included. Thus a stock which had been very volatile in the past could measure very low currently and vice versa. This method is only intended to be a simple screening tool to be used in advance of any more detailed testing such as AIM historical simulations. Thus for example if one were looking at 50 candidates say then one could apply this algorithm to select the top 10. Then one could perform more analysis on these 10 including actual AIM simulations. To repeat ... this algorithm is only a screening tool to be used if and only if it helps one to simplify the effort of determining a likely AIM candidate. Also I think that this algorithm could be improved upon. For example a reflection of volume might be appropriate. Some changes in the 15% variation level might also be helpful. Mark's idea of perhaps letting the user choose the parameters is a good one I think. In any event this whole algorithm was simply my more numerical interpretation of the graphical algorithm presented by Dr. C in "The Money Spinner". Barry