http://www.traders.com/documentation/FEEDbk_docs/1996/08/0896tradetips.html
In "Historical volatility and pattern recognition," Laurence Connors and Linda Bradford Raschke combine a historical volatility ratio with some short-term patterns to spot potential price moves. Here's a set of TechniFilter Plus formulas that will filter for these situations.
Formula 1 is the historical price volatility ratio. It compares the five-day standard deviation of the logarithm of the one-day price change ratio to the 99-day version of the same calculation. Connors and Raschke suggest using six-day and 100-day periods, but TechniFilter Plus uses five and 99 in its standard deviation calculation to reproduce the same values (since 100 days yield 99 one-day changes). Formula 2 is 1 if today is an inside day and zero otherwise. Formula 3 is 1 if today is an NR4 day (narrow range 4 pattern) and zero otherwise. Formula 4 is 1 if the volatility ratio is less than 0.5 and today is either an inside day or an NR4 day. Thus, a 1 in column 4 marks the days when a market move is expected according to this strategy.
http://www.lbrgroup.com/index.asp?page=FAQ
What is the historical volatility ratio?
This is the ratio between two different lengths of historical volatility (for example, the ratio between 25-day and 100-day historical volatility). We use this indicator to alert us to times when short-term volatility has declined below longer-term volatility by a certain percentage threshold. These signals are often precursors to increasing volatility.
http://www.lbrgroup.com/index.asp?page=FAQ
What is the historical volatility ratio?
This is the ratio between two different lengths of historical volatility (for example, the ratio between 25-day and 100-day historical volatility). We use this indicator to alert us to times when short-term volatility has declined below longer-term volatility by a certain percentage threshold. These signals are often precursors to increasing volatility.
And Historic Volatility is given here
HELLO ALL TRADERS, MY NAME IS ALESSANDRO FROM ITALY,AM LOOKING FOR A RELATIONSHIP WITH INDICATOR HISTORICAL VOLATILITY 100 / 6 100/10, SUCH AN INDICATOR IS SHOWN TO BE IN HIS CONNORS LIBRO.The HVR is basically a ratio or percentage of a Mathematical shorts
to long for the average historical volatility. When a market's short volatility
Certain percentage declines below a long volatility of the ITS, it is in heads
signal an explosive move up That May Be Imminent.
The standard settings are used Both the 10/100 and 6 / 100 HVR with 50% ratio.
The 50% ratio will be the trigger point. Either the OR if the 10/100 6 / 100
declines below 50% in Any Market, That Should Be watched for potential market
trades, as a sharp move Could Be seen.
Somebody to know similar indicator?
Thanks all
Alessandro Monti
Thank you very much amidel cts, I tried to copy the formula and it works, although it is a bit different from the type of indicator that Connors describes in his book, your indicator is formed by bars. I wanted to ask only one question, how do I put a level of 50%, in such a way to understand when the volatility falls below 50% of that of the long term? (100). Thank you very much you are the one who helped me.
Sincerely
Alessandro
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HELLO ALL TRADERS, MY NAME IS ALESSANDRO FROM ITALY,AM LOOKING FOR A RELATIONSHIP WITH INDICATOR HISTORICAL VOLATILITY 100 / 6 100/10, SUCH AN INDICATOR IS SHOWN TO BE IN HIS CONNORS LIBRO.The HVR is basically a ratio or percentage of a Mathematical shorts
to long for the average historical volatility. When a market's short volatility
Certain percentage declines below a long volatility of the ITS, it is in heads
signal an explosive move up That May Be Imminent.
The standard settings are used Both the 10/100 and 6 / 100 HVR with 50% ratio.
The 50% ratio will be the trigger point. Either the OR if the 10/100 6 / 100
declines below 50% in Any Market, That Should Be watched for potential market
trades, as a sharp move Could Be seen.
Somebody to know similar indicator?
Thanks all
Alessandro Monti