Metastock Formulas - N Strona 1
Metastock Formulas - N
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Nlcolas Darvas
Natenberg's Volatility
MetaStock Llnks
NR4 Formula from Trading Tactics page 100
Rave Revlews
Natenberg's Volatility
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rev. 01/21/97
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HIstorIcaI voIatIIIty Is defIned by SheIdon Natenberg, as the standard devIatIon of the
IogarIthmIc prIce changes measured at reguIar IntervaIs of tIme. In Mr. Natenberg's book,
SlteMap
"OptIon VoIatIIIty & PrIcIng," he covers voIatIIIty In detaII and gIves the formuIa for
computIng hIstorIcaI voIatIIIty. In MetaStock, the equIvaIent formuIa wouId be:
Std( Log( C / Ref( C ,-1 ) ) ,10 ) * Sqrt( 365 / 7 )
The above assumes WeekIy Data. To utIIIse thIs wIth DaIIy Data, the MetaStock formuIa
wouId be:
Std( Log( C / Ref( C,-1) ),10 ) * Sqrt( 365 )
For further InterpretatIon refer to the book "OptIon VoIatIIIty & PrIcIng," by SheIdon
Natenberg.
Nat's VoIt
Std(Iog(c/ref(c,-1)),10)*sqr(365/7)
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NR4 Formula from Trading Tactics page 100
CoIumn A
Std(Log(C/Ref(C,-1)),5)/Std(Log(C/Ref(C,-1)),99)
CoIumn B
HIGH-LOWCoIumn C
HIGH<(Ref(HIGH,-1)AND LOW>Ref(LOW,-1))
CoIumn D
HIGH
CoIumn E
LOW
FIIter
coIA<.5 AND (coIB= 1 OR coIC= 1)
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http://www.meta-formula.com/Metastock-Formulas-N.html 2014-10-14 14:04:46
Metastock Formulas - N Strona 2
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http://www.meta-formula.com/Metastock-Formulas-N.html 2014-10-14 14:04:46