Comments on: Looking at volatility, historically speaking http://theessentialsoftrading.com/Blog/index.php/2007/02/10/looking-at-volatility-historically-speaking/ Information and resources for those looking to learn about trading and the markets Sat, 19 May 2012 12:27:40 +0000 hourly 1 http://wordpress.org/?v=3.2.1 By: Rhody Trader» Retail Traders Flooding Into Forex, Again http://theessentialsoftrading.com/Blog/index.php/2007/02/10/looking-at-volatility-historically-speaking/#comment-14418 Rhody Trader» Retail Traders Flooding Into Forex, Again Fri, 12 Jun 2009 13:14:13 +0000 http://www.theessentialsoftrading.com/Blog/index.php/2007/02/10/looking-at-volatility-historically-speaking/#comment-14418 [...] in this weekly EUR/USD chart, that low volatility went away in a hurry in 2007. (Red line shows Normalized Average True Range, a measure of period range volatilty – higher levels mean wider period [...] [...] in this weekly EUR/USD chart, that low volatility went away in a hurry in 2007. (Red line shows Normalized Average True Range, a measure of period range volatilty – higher levels mean wider period [...]

]]> By: John http://theessentialsoftrading.com/Blog/index.php/2007/02/10/looking-at-volatility-historically-speaking/#comment-4881 John Sun, 11 Feb 2007 20:15:30 +0000 http://www.theessentialsoftrading.com/Blog/index.php/2007/02/10/looking-at-volatility-historically-speaking/#comment-4881 While I use StdDev a lot myself, it does have the restriction of being based only on closing price, so it doesn't take the full price range in to consideration. Not that it's not useful, mind you. As for ATR, the thing that really shows when looking at the normalized reading is the impact the withdrawl of retail traders/investors had after 1987, and again after the peak in 2000. People have long blamed the hedge funds, et al for market volatility, but clearly it's the individual traders that really create volatility. While I use StdDev a lot myself, it does have the restriction of being based only on closing price, so it doesn’t take the full price range in to consideration. Not that it’s not useful, mind you.

As for ATR, the thing that really shows when looking at the normalized reading is the impact the withdrawl of retail traders/investors had after 1987, and again after the peak in 2000. People have long blamed the hedge funds, et al for market volatility, but clearly it’s the individual traders that really create volatility.

]]> By: Bill aka NO DooDahs! http://theessentialsoftrading.com/Blog/index.php/2007/02/10/looking-at-volatility-historically-speaking/#comment-4880 Bill aka NO DooDahs! Sun, 11 Feb 2007 19:31:31 +0000 http://www.theessentialsoftrading.com/Blog/index.php/2007/02/10/looking-at-volatility-historically-speaking/#comment-4880 I'm a big fan of ATR as well, but decided to use the StDev instead just because of its wider use. Both are saying pretty much the same thing and are generally correlated. The "low volatility" pundits typically run in two packs: those without a longer-term perspective and those out to scaremonger. Nice analysis. I’m a big fan of ATR as well, but decided to use the StDev instead just because of its wider use. Both are saying pretty much the same thing and are generally correlated.

The “low volatility” pundits typically run in two packs: those without a longer-term perspective and those out to scaremonger.

Nice analysis.

]]> By: Stochastics advice please - Forex Forum http://theessentialsoftrading.com/Blog/index.php/2007/02/10/looking-at-volatility-historically-speaking/#comment-4875 Stochastics advice please - Forex Forum Sun, 11 Feb 2007 14:32:44 +0000 http://www.theessentialsoftrading.com/Blog/index.php/2007/02/10/looking-at-volatility-historically-speaking/#comment-4875 [...] current volatility levels stand historically speaking. I'll refer you to my recent blog post on Average True Range as an example of what I'm talking about. Indicators are just a way to provide a filter or [...] [...] current volatility levels stand historically speaking. I’ll refer you to my recent blog post on Average True Range as an example of what I’m talking about. Indicators are just a way to provide a filter or [...]

]]>