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OK thanks. That would be a bit more difficult so if you’re interested in a scripting consultation let us know and we’ll look in to it, or maybe someone else would be willing to reply with a solution. Are you only interested in closing prices and not high / low prices?
There are a couple of other easier ways to measure and compare volatility:
1: Average True Range expressed as a percentage of the close – ATR(BARS=5) / CLOSE()
2: Bollinger Bandwidth – BBW(Bars=5)
Here’s the ASX200 sorted by lowest ATR as a % ie least volatile over the last 5 days, along with the BBW% (save and open the workbook attached):
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