StockFetcher Forums · General Discussion · Historical volatility<< >>Post Follow-up
wbmiv4
4 posts
msg #65372
Ignore wbmiv4
7/23/2008 6:27:59 PM

Is there a way to search for 1 year and 1 month volatility. If I am looking at this correctly, Stockfetcher only goes back 100 periods, and I am assuming I would need 250 for a year. Thanks for everyones help in advance!!!!

TPA Trader

rtucker
318 posts
msg #65376
Ignore rtucker
7/23/2008 8:44:56 PM

This may help you get started.

Day range could probably also be used instead of day change.
The choice of a 10 day custom MA is arbitrary here. This method selects many stocks that were not trading 250 days ago.

Anyway, requiring the 10 period MA to be less than 10 seems to eliminate the stocks that were not trading 250 days ago.

Fetcher[set{abs_day_change, abs(day change)}
cema(abs_day_change,10) 250 days ago is above 3
cema(abs_day_change,10) 250 days ago is below 10
close > 1
avg vol(90) above 1000000
add column cema(abs_day_change,10) 250 days ago
]




StockFetcher Forums · General Discussion · Historical volatility<< >>Post Follow-up

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