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Strategies & Market Trends : TA Science Projects & Experimental Indicators -- Ignore unavailable to you. Want to Upgrade?

To: HeyRainier who wrote (97)	3/22/1998 11:13:00 AM
From: ftth	Read Replies (1) \| Respond to of 237

Hi Rainier, re: {how about a volatility-adjusted stochastics indicator? } Is this along the lines of what you're thinking? Message 3196695 It still needs some work, no doubt, but it might be a foundation. In this case volatility is measured with the daily range. There are many different ways to view volatility, depending on which price points are used. I think a measure "across days" as well as "within days" is needed to fully characterize the volatility. I know the description isn't very detailed, but it's still a "work in progress" so the details of the description are evolving. If you're interested in working on this, or have any "what do you mean by..." questions, please let me know. Would love to get a couple/few of us looking at this, possibly from different angles, and see what we can come up with (after all, that was the purpose of starting this thread, so maybe this could be the first "group project") dh

To: HeyRainier who wrote (97)	3/22/1998 7:46:00 PM
From: ftth	Respond to of 237

Rainier: Some thoughts on volatility-based indicators in general: In a sense, the trend-delineated stuff I was working on might be of use here. I really do believe that noting changes in volatility of daily range, volatility of open to close, and volatility of yesterday's close to todays open (which gives complete coverage of the price activity day to day), and possibly adding volatility of close to close (which overlaps the above data), is very telling of what's to come price wise. When these figures are confined to trend legs (i.e. between pivot points), and compared to the figures in other same-direction trend legs, an indication of "how normally" the current move is progressing can be had. The last run at a top typically shows an increase in volatility, and this needs to be seggregated by trend leg, rather than an arbitrary look-back period, to show any significance. It's not accurate (at least, I don't think it is) to include volatility info from prior DOWN TRENDLEGS in this calculation because a different sentiment is at work, and the hands in control are different (and therefore react differently). A decline on increased volatility after the prior conditions are met seems to be a good way to confirm an imminent decline. I do believe there is value in the location of the close with respect to the max hi/lo range over some number of days (which is what stoc's are BASED on), but I don't believe multiple layers of smoothing and averaging is the way to exploit it (as is done with the canned stochastic indicator). In other words, rather than smoothing OUT the "noise," we WANT the noise, and changes therein, to point us in the right direction (based on how the current noise correlates to noise from the past under similar conditions). Also, I'm beginning to be biased toward volatility as measured by the range of actual prices (either as a percent or an absolute dollar value), as opposed to volatility as measured by standard deviation-based indicators. In other words, I'm leaning toward volatility based on actual trading points, rather than volatility based on the assumption of a known statistical distribution that presumably follows this distribution over all time periods, whether trending up, down, or sideways; or an arbitrarily-chosen multiplier of the variance in the data (e.g 2 standard deviations....why not 2.3, or 1.7, or ???). I'm open to a convincing argument in favor of standard deviation as opposed to price range as a measure of volatility. dh P.S. I certainly don't have this "all figured out," so I'm open to any and all comments or rebuttals of my assumptions, or just general comments of what has worked in the past for anyone else out there.

To: HeyRainier who wrote (97)	3/22/1998 8:11:00 PM
From: ftth	Respond to of 237

I forgot to mention, volume has a role in all the aforementioned volatility stuff. In fact the volatility of the volume (percent change seems to make the most sense) in conjunction with the volatility of the price is where the answer lies, I'm thinking. I've done a lot of work along these lines, but I keep running into the problem that, in order to implement anything useful that can be run as a daily scan, I need a software package that allows custom indicators with array and pointer support, along with MetaStock-like base features. Most everything I've worked on, I've had to implement in Excel; the "dynamic link" between MetaStock and Excel is crash-prone and tedious. Plus, I need to be able to draw lines based on calculated results, or modified o-h-l-c-v charts. This can be done in a round-about way with Metastock, but again, very tedious and not something that could be run nightly. dh

To: HeyRainier who wrote (97)	3/28/1998 3:46:00 PM
From: Galirayo	Read Replies (2) \| Respond to of 237

Rainier. ..... Squeeze Me? Did someone say ... Cunningham? I search SI once in a while to see who's talking about me. Volatility? Do you watch the VIX Index? The OEX Implied Market Volatility? I don't have a Volatility Indicator on my Chart Program. But if I knew the calculation I could try to program it. One other point. I try to use Market Standard Indicators. The reason I do is fairly straight forward. The Standard Indicators are used by the Majority. I just want an indicator *Modification* that gives me a 1 or 2 day lead time on the majority. Dave has a good idea about simply changing the multiplier of Volatility. ==>or an arbitrarily-chosen multiplier of the variance in the data (e.g 2 standard deviations....why not 2.3, or 1.7, or ???). ==> BTW: I like this thread. I didn't even know it was here till I noticed you talking about me. :-)) Thanks, Dave. Nice Thread. Need a Web Based Chart to play around with? traderware.com You can do Sto & Volatility here under Custom. Ray