I love the ATR but...

N

nooby_mcnoob

Is there a measurement of intraday volatility that people use? The problem I have with daily ATR as colloquially defined is that it looks at the previous close and certain assets that shall remain unnamed gap up and down with alarming frequency, enough to make ATR not as useful as otherwise.

I want something as simple as the ATR, but restricted to intraday movements somehow.
 
Standard deviation can be used as a volatility indicator. For comparison purposes you can use a normalized version (i.e SD / price). Or you can look at percentage changes from candle to candle and calculate the SD of this. SD is basically a measure of average deviation away the mean.....the more deviation (volatility) the higher the SD value. If you're only interested in downside deviation (i.e. percentage changes that are negative) you can set all positive percentages to zero and then calculate the SD. Personally I like this measure better since I'm in favor of large positive spikes in price and don't want to penalize them. Excel has built-in functions for standard deviation so it would be fairly easy to test with some intraday data.
 
Is that average true range?

These do not tell anything about what happens within said range.

I’d suggest you rather find out what you want to meaure. Then measure that. :)
 
Laissez Faire said:
Is that average true range?

These do not tell anything about what happens within said range.

I’d suggest you rather find out what you want to meaure. Then measure that. :)
More...

ATR = average true range, yes. I don't ask it to tell me about what happens within said range :-)
 
nooby_mcnoob said:
ATR = average true range, yes. I don't ask it to tell me about what happens within said range :)
More...

Point is - it depends on what you’re interested in.

ATR to me is a meaningless metric. Actual range is what matters. As a daytrader and otherwise to track volatility, I want to know what happens within said range.

And that is found with non commercial metrics. :)
 
Laissez Faire said:
Point is - it depends on what you’re interested in.

ATR to me is a meaningless metric. Actual range is what matters. As a daytrader and otherwise to track volatility, I want to know what happens within said range.

And that is found with non commercial metrics. :)
More...

It is meaningful for the calculations that I run, or at least it is consistently wrong for my calculations :-)
 
Laissez Faire said:
Is that average true range?

These do not tell anything about what happens within said range.

I’d suggest you rather find out what you want to meaure. Then measure that. :)
More...

That's not what it's used for. Volatility measurements for equities are typically used for position sizing, stop distances, filters etc.
 
You must log in or register to reply here.
Back
Top