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Natenberg's Volatility
NR4 Formula from Trading Tactics page 100

Natenberg's Volatility

rev. 01/21/97

Historical volatility is defined by Sheldon Natenberg, as the standard deviation of the logarithmic price changes measured at regular intervals of time. In Mr. Natenberg's book, "Option Volatility & Pricing," he covers volatility in detail and gives the formula for computing historical volatility. In MetaStock, the equivalent formula would be:

Std( Log( C / Ref( C ,-1 ) ) ,10 ) * Sqrt( 365 / 7 )

The above assumes Weekly Data. To utilise this with Daily Data, the MetaStock formula would be:

Std( Log( C / Ref( C,-1) ),10 ) * Sqrt( 365 )

For further interpretation refer to the book "Option Volatility & Pricing," by Sheldon Natenberg.

Nat's Volt
Std(log(c/ref(c,-1)),10)*sqr(365/7)

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NR4 Formula from Trading Tactics page 100

Column A
Std(Log(C/Ref(C,-1)),5)/Std(Log(C/Ref(C,-1)),99)
Column B
HIGH-LOW<Ref(LLV(H-L,3),-1)
Column C
HIGH<(Ref(HIGH,-1)AND LOW>Ref(LOW,-1))
Column D
HIGH
Column E
LOW
Filter
colA<.5 AND (colB= 1 OR colC= 1)

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