Custom Formula Collection

Historical Volatility System, Connors and Raschke's

In the August 96 issue of Stocks &
Commodities, Traders Tips, Allan McNichol explains how to use the MetaStock Explorer to search for securities based on Connors and Raschke's historical volatility system. The following is from his article.

To do this go to The Explorer and choose the New button. Enter in the following column and filter formulas.

Col A:       Vol ratio       Std(Log(C/Ref(C,-1)),5) / Std(Log(C/Ref(C,-1)),99)
Col B:       NR4 day       High - Low <
Col C:       Inside       High <
Ref(High,-1) AND Low >
Col D:       High       High
Col E:       Low       Low
Filter               ColA <
0.5 AND (ColB = 1 OR ColC = 1)

Run the exploration on the desired securities and display the report. Column A shows the ratio between the six-day and 100-day volatility. Column B displays a 1 if today is a NR4 day and a zero on all other days. Similarly, column C displays a 1 if today is an inside day. The high and low are displayed in columns D and E to determine the entry points.

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