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Scanning for Historic Volatility

revblc
revblc ✭
in Scanning
Hi guys, I'm trying to create a scan that looks for low historical volatility. I was thinking something like this:

[Std Deviation(200)/sma(200,close) <= .4]

Is that accurate? How can I scan for historic volatility? Thanks

Comments

  • lmkwin
    lmkwin ✭✭
    Your scan returns results. I'm not certain what you are looking for but I ran it against the SP500/SP400/SP600/Naz100 and got 999 results.

    Changing the .4 to .04 got 4 results. COST, EE, FLO, and VZ,

    Volatility can be measured by the Bollinger Bands as well, which use the Std Deviation in their calculation. The BB Width shows the expansion and contraction of the Bollinger Bands. It seems to mimic the Std Deviation line. The %B shows the position of the price in relation to the Bollinger Bands.

    Personally, I prefer the ATR measures as they can provide additional information as to accumulation and distribution. High ATR is often shown around tops and bottoms. ATR is often lower after a move has progressed a bit.

    Keltner Channels, which use Average True Range are an "alternative" to use for that. Or put a Bollinger Band on the ATR to get volatility of volatility. I know there are some analysts that include both measures in their observations. Some say that the markets move from expansion to contraction to expansion to contraction. I don't have any studies to confirm that but it sounds logical.
  • markd
    markd mod
    Here's how the Chart School article on Std Dev does it (very bottom):

    https://school.stockcharts.com/doku.php?id=technical_indicators:standard_deviation_volatility

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