This is a trading item or a component that was created using QuantShare by one of our members.
This item can be downloaded and used by QuantShare Trading Software.
Trading items are of different types. There are data downloaders, trading indicators, trading systems, watchlists, composites/indices...
You can use this item and hundreds of others for free by downloading QuantShare.
Top Reasons Why You Should Use QuantShare:
Works with US and international markets (stock, forex, options, futures, ETF...)
Offers you the tools that will help you become a profitable trader
Allows you to implement any trading ideas
Exchange items and ideas with other QuantShare users
Our support team is very responsive and will answer any of your questions
We will implement any features you suggest
Very low price and much more features than the majority of other trading software
For Free - No Credit Card Required
Market Volatility - Composite Indicator using Stocks Standard Deviation
Standard deviation is a well-known measure of volatility of an investment or an asset. The volatility measures the dispersion of a set of data from its mean, it does not tell us about the direction of the market or the asset.
The volatility of a stock is calculated by taking the standard deviation of the one-bar rate of return of that stock.
The Market Volatility Composite returns the ratio of the number of stocks with increasing 10-bar standard deviation to the number of stocks with decreasing 10-bar standard deviation. Above one, the composite indicates that there are more stocks with increasing volatility than stocks with decreasing volatility and this is a sign that the market volatility has increased.
This composite is a short-term volatility indicator because values move above and below the base line (1) several times each month. By updating this market indicator and setting a higher period for the standard deviation function, you can transform this composite into a medium or long-term indicator of market volatility.
It is also possible to reduce the number of oscillations of the composite by smoothing it using a simple or an exponential moving average.
This market volatility composite creates a ticker symbol whose name is _MARKET_STDEV.
