Does an Indicator already exist for something like a Historic Volatility measurement

Author: Bandit292

Creation Date: 8/10/2008 11:19 AM

Wealth Lab » Technical Indicators » Does an Indicator already exist for something like a Historic Volatility measurement

Bandit292

8/10/2008 11:19 AM

I have reviewed the available technical indicators at length, but don't see one that does precisely what I need. It must already exist, but I just can't find it.

I'm looking for something like a Historic Volatility measurement, but HV does not capture direction -- just magnitude. I am looking for an indicator that:
1. Evaluates over a specified time frame (say a 5-YR lookback)
2. Measures a specified time frame move for every bar (say the 3-MO change for every bar in the 5-YR lookback)
3. Takes the standard deviation of the data collected and indexes it:
A. A one standard deviation move is 1
B. A minus one standard deviation move is -1
C. Generates the current bar value within that indexed standard deviation

As an example, a 5-YR lookback of a 3-MO time frame change will generally show positive values in an uptrending market. Once indexed, however, a zero value (the median value after indexing) would not tell us if the stock is going up or down, just that it is going up or down at the average rate for the evaluated time period (3-MO) over the lookback period (5-YR). Indexed values above zero signify the stock is outperforming the median value and values above 1 would signify a stock that is showing extreem outperformance for the time period and may be due for a reversion to the mean.

I hope that makes sense. Thanks in advance for any help and sorry if I have somehow overlooked an obvious existing indicator.

Bandit292

8/13/2008 1:17 PM

OK, it does not look like an indicator like this already exists. If I want to create a custom indicator using C# Express, does someone have custom indicator code I can use as a template to build upon?

Thanks ...