Volatility Indicator for NT
Posted: Fri May 25, 2007 6:39 pm
Hi,
My coding skills are abysmal, and I'm trying to get a volatility indicator different than what I've seen so far. If anyone's up for the task i'll lay out the logic.
So here's the thought, total volatility is a function of trend volatility and period volatility. The values I used to calculate are the period's High and Low and midpoint (M).
A trend's volatility(VT) is the sum of the variance of the midpoints (M) for a given number of periods (Q)
Eg: if Q=5 and the M values for the past 5 periods are 1)60 2)65 3)55 4)60 5)65 the calculation determines 60+5-5+0+5-60=5 so our trend volatility (VT) in this case is 5.
Period Volatility (VP) is the current volatility experienced within the period. This is determined by subtracting the midpoint (M) from the High. VP=H-M.
The last complete period will have a VP value which is added to the weighted average of the VP values over a variable number of periods (Q1)
Eg. the average VP value for Q1(5) periods is 4, the last VP value was 4. Total Period volatility is assigned a value of 8.
the Volatility indicator is the sum of the Total period Volatility and the Trend Volatility. In our example the Vol indicator would give a value of 13. In non volatile markets this number should hover around a base line, whose value will change depending on the inherent volatility of the underlying asset.
Any thoughts?
My coding skills are abysmal, and I'm trying to get a volatility indicator different than what I've seen so far. If anyone's up for the task i'll lay out the logic.
So here's the thought, total volatility is a function of trend volatility and period volatility. The values I used to calculate are the period's High and Low and midpoint (M).
A trend's volatility(VT) is the sum of the variance of the midpoints (M) for a given number of periods (Q)
Eg: if Q=5 and the M values for the past 5 periods are 1)60 2)65 3)55 4)60 5)65 the calculation determines 60+5-5+0+5-60=5 so our trend volatility (VT) in this case is 5.
Period Volatility (VP) is the current volatility experienced within the period. This is determined by subtracting the midpoint (M) from the High. VP=H-M.
The last complete period will have a VP value which is added to the weighted average of the VP values over a variable number of periods (Q1)
Eg. the average VP value for Q1(5) periods is 4, the last VP value was 4. Total Period volatility is assigned a value of 8.
the Volatility indicator is the sum of the Total period Volatility and the Trend Volatility. In our example the Vol indicator would give a value of 13. In non volatile markets this number should hover around a base line, whose value will change depending on the inherent volatility of the underlying asset.
Any thoughts?