In "A volatility trade in gold" in this issue, David Landry describes several volatility formulas. These formulas can be implemented in Window On WallStreet Day Trader and Window On WallStreet Professional Investor.
In Window On WallStreet, begin with any open chart on your screen. Click the Indicator button on the toolbar, click New and enter the following formulas:
Historical Volatility
Name: Historical Volatility
Description: Historical volatility as described by David Landry from Technical Analysis of Stocks & Commodities.
Variables:
Name: persnum
Prompt Text: Number of periods for std dev in numerator
Default Value: 4
Name: persdenom
Prompt Text: Number of periods for std dev in denominator
Default Value: 100
Name: devs
Prompt Text: Number of standard deviations
Default Value: 1.0
Formula(s):
1: std(Log(c/ref(c,-1)),persnum,devs)/std(log(c/ref(c,-1)),persdenom,devs)
Average Historical Volatility
Name: Average Historical Volatility
Description: Average historical volatility as described by David Landry in Technical Analysis of Stocks & Commodities.
Variables:
Name: persdenom
Prompt Text: Number of periods for std dev in denominator
Default Value: 100
Name: devs
Prompt Text: Number of standard deviations
Default Value: 1.0
Formula(s):
1: (std(Log(c/ref(c,-1)),4,devs)/std(log(c/ref(c,-1)),persdenom,devs) +
std(Log(c/ref(c,-1)),6,devs)/std(log(c/ref(c,-1)),persdenom,devs) +
std(Log(c/ref(c,-1)),10,devs)/std(log(c/ref(c,-1)),persdenom,devs))/3
EMA of Historical Volatility
Name: EMA of Average Historical Volatility
Description: EMA of historical volatility as described by David Landry from Technical Analysis of Stocks & Commodities.
Variables:
Name: pers
Prompt Text: Number of periods for EMA
Default Value: 12
Name: persdenom
Prompt Text: Number of periods for std dev in denominator
Default Value: 100
Name: devs
Prompt Text: Number of standard deviations
Default Value: 1.0
Formula(s):
1: mov((std(Log(c/ref(c,-1)),4,devs)/std(log(c/ref(c,-1)),persdenom,devs) +
std(Log(c/ref(c,-1)),6,devs)/std(log(c/ref(c,-1)),persdenom,devs) +
std(Log(c/ref(c,-1)),10,devs)/std(log(c/ref(c,-1)),persdenom,devs))/3,pers,e)
--Andrew Laska
Window On WallStreet, Inc.
800 998-8439, wowinfo@wallstreet.net
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TECHNIFILTER PLUS
Here are the TechniFilter Plus formulas for indicators in David Landry's "A volatility trade in gold," in which Landry looks for volatility trades.
The first formula, Conhv, computes the ratio of the n-day Connors' volatility to the 100-day Connors' volatility for the parameter n=4. By varying the parameter, you can display the six-day and 10-day ratio that Landry uses. The second formula, Avg3hv, uses references to the first formula to compute the average of volatility ratios for three time periods. Finally, the third formula takes the 12-day exponential average of the second formula.
Landry also uses two additional indicators that are included in TechniFilter Plus's library, ATR(1) and LSF(10), for the one-day average true range and the 10-day least-squares fit line. After adding the three formulas to your library, you can access them (or ATR or LSF) from the Chart From Library tool while a chart is displayed. It may be quicker to use the Chart From Keyboard tool, and just enter the formula name with parameters in the formula box. For example, you can type LSF(10) into the formula box to immediately display the least-squares fit line without looking for it in the list of library functions.
Formulas Conhv, Avg3hv, Volatility12EMA
NAME: Conhv
PARAMETERS: 4
FORMULA: (C/CY1)U9|&1 / (C/CY1)U9|100
NAME: Avg3hv
FORMULA: ( Conhv(4) + Conhv(6) + Conhv(10) ) / 3
NAME: Volatility12EMA
FORMULA: ( Avg3hv() )X12
--Clay Burch, RTR Software
919 510-0608, E-mail: rtrsoft@aol.com
Internet: https://www.rtrsoftware.com
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WAVE WI$E MARKET SPREADSHEET
Here are the WAVE WI$E spreadsheet formulas for implementing the indicators discussed in David Landry's "A volatility trade in gold."
A: DATE @TC2000(C:\TC2000\DATA, XGLD,WORLD GOLD,DB)
B: HIGH
C: LOW
D: CLOSE
E: OPEN
F: VOL
G: Lratio @LOG(CLOSE/CLOSE[-1])
H: Hist4 @STD(LRATIO,4)/@STD(LRATIO,100)
I: Hist6 @STD(LRATIO,6)/@STD(LRATIO,100)
J: Hist10 @STD(LRATIO,10)/@STD(LRATIO,100)
K: AvHist (HIST4+HIST6+HIST10)/3
L: ExpHist @EAVG1(AVHIST,12)
M: Lreg @LREG(CLOSE,10)
N: TruRng @TR(HIGH, LOW, CLOSE, 1)
O: Ema20 @EAVG1(CLOSE,20) 'COMPUTE EMA
P: EmaSig PROCEDURE(EMABUY) 'EMA SYSTEM
Q: Color @IF(EMASIG>0,GREEN,WHITE) 'SET DYNAMIC
COLOR BARS
R:
'EMA BREAKOUT 2/20 DAY BUY RULES
#NAME STATE X$1
#NAME BSTOP X$2
#NAME TICK .0625 'SET TICK UNIT
@IF(@ROW() = 1 THEN 'INITIALIZE
STATE=0 'SET STATE TO FLAT
@FOR X$3=1 TO @ENDROW() 'CLEAR ANY OLD VALUES
@CELLPUT(@COLUMN()+1,X$3,@BLANK())
NEXT
ENDIF
@IF STATE = 0 THEN 'CHECK IF FLAT
@IF LOW>EMA20 & LOW[-1]>EMA20[-1] THEN
STATE=1 'ALERT IN EFFECT
BSTOP=@MAX(HIGH,2)+10*TICK 'SET THE BUY STOP
ENDIF
@RETURN(@BLANK()) 'NO POSITION
ENDIF
@IF STATE = 1 THEN 'CHECK IF ON BUY ALERT
@IF HIGH >= BSTOP THEN 'BUY STOP IS HIT
STATE=2 'BUY SIGNAL IN EFFECT
@RETURN(CLOSE) 'BUY ON CLOSE
ENDIF
@IF LOW <= EMA20 THEN 'CHECK FOR CANCEL ALERT
STATE=0 'CANCEL ALERT
ENDIF
@RETURN(@BLANK()) 'NO POSITION
ENDIF
@IF STATE = 2 THEN 'CHECK IF ON BUY SIGNAL
@IF LOW <= EMA20 THEN 'CHECK FOR SELL SIGNAL
STATE=0 'SHOW NOW FLAT
@CELLPUT(@COLUMN()+1,@ROW(),CLOSE)
@RETURN(CLOSE) 'SELL ON CLOSE
ENDIF
@RETURN(CLOSE) 'SHOW MARKED TO MARKET
ENDIF
@RETURN(0) 'GIVE ERROR RETURN
==========End Formulas
--Peter Di Girolamo, Jerome Technology
908 369-7503, E-mail: jtiware@aol.com
Internet: https://members.aol.com/jtiware
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