StockFetcher Forums · General Discussion · Average volatility for any given stock?<< >>Post Follow-up
tkirkpatrick1
24 posts
msg #134509
Ignore tkirkpatrick1
2/23/2017 3:48:22 PM

I want to find the average volatility of the stock over the last hundred days. Then have a variable that I can set to check to see if it's it plus or minus the low or high. Is there anyway to do this? Big thanks for everyone's help.

dwiggains
404 posts
msg #134533
Ignore dwiggains
2/24/2017 9:25:52 AM

Hi
Is this what you want??

Fetcher[
set{volatility,atr (5) / atr (100)}
add column volatility
close > 2
average volume (20) > 999000
sort column 5 descending
]




see ya
david

tkirkpatrick1
24 posts
msg #134593
Ignore tkirkpatrick1
2/26/2017 2:52:00 PM

Let me try this would like to see the following
for the last 100 days of volatility. As an example I ran UVXY in my excel program today it kicked out the following values.
_________________________________________________________________________
Close: 21.44001
Current: 54.90
Average: 77.36
Maximum: 117.09
Minimum: 45.40
________________________________________________________________________

So what I'm after is to be able to see where a sock's average as above is normally running then be able to have a variable i.e show stocks where average volatility <= average current volatility. Or the reverse of that show stocks where average volatility => average current volatility. Thanks for looking at this for me sorry I wasn't more clear I really have a hard time with that so my wife says.


tkirkpatrick1
24 posts
msg #134687
Ignore tkirkpatrick1
3/1/2017 4:36:20 PM

Anyone know can this be done? Would love to be able to see the current, average, Maximum and Minimums and be able to set variables to look for current > or < average volatility.

_________________________________________________________________________
Close: 21.44001
Current: 54.90
Average: 77.36
Maximum: 117.09
Minimum: 45.40
________________________________________________________________________

Isaac
1 posts
msg #134833
Ignore Isaac
3/10/2017 12:36:22 AM

Hi, ATR (average true range) percent and day range are great indicators of volatility, I use many of these in my filters:

and draw day range
and add column average day range percent(5)
and draw day change % line at 0

and draw average true range percent(5)
and add column average true range percent(5)

and draw average true range percent(14)
and add column average true range percent(14)

You can use any of these or a combination of them to calculate volatility. For example if you want to use intraday volatility use "day range" or "average day range" (number of days).

ATR % factors in the previous day and the next day to calculate the average volatility over a number of days.

StockFetcher Forums · General Discussion · Average volatility for any given stock?<< >>Post Follow-up

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