Click here to Login








Market Volatility - Composite Indicator using Stocks Standard Deviation

by Tom Huggens, 3243 days ago
Share |






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.


Share This ->
Share |


You have to log in to bookmark this object
What is this?




Type: Composite Index

Object ID: 892


Country:
All

Market: Stock Market

Style:
Technical Analysis

Reviews
You must log in first

Join now
and get instant access for free to the trading software, the Sharing server and the Social network website.
Click here


Related objects

Empty

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object

Technical Analysis


Fundamental Analysis



Random Blog Posts

Trading Items: Data Download using .Net Scripts

Adding Trading Indicators and Formulas to a Chart

How to Download and Use Fundamental Data

QuantShare Version 2.1.2 - Trading Software

Automated Parsing in QS Trading Software

How to Create a List of Ticker Symbols

QuantShare Version 2.1.0 - Trading Software

How to create a ratio indicator using QS Trading Software

Show All

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object






QuantShare
Product
QuantShare
Features
Create an account
Affiliate Program
Support
Contact Us
Trading Forum
How-to Lessons
Manual
Company
About Us
Privacy
Terms of Use

Copyright 2019 QuantShare.com
Social Media
Follow us on Facebook
Twitter Follow us on Twitter
Google+
Follow us on Google+
RSS Trading Items



Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.