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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