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Plotting average volatility

It seems to me that using faster signals (shorter MAs for instance) is appropriate for more volatile securities (crypto or coffee for instance) and slower signals for less volatile ones (stock indexes). I'm trying to find a way to adapt a model so that it can be used on more/less volatile instruments with some degree of reliability across securities/assets. To do this I want to classify securities based on some comparable measure of their typical volatility. So here's, my question...

How can I chart the 20-period EMA of a security's ATR(14) divided by the 20-period SMA of that same security's price? On a monthly time-scale, cryptos sometimes rise above 50% by this measure while bonds might only be 2% and the SPY usually sits between 5-10%.

I appreciate any suggestions from the s.c.a.n. gurus!


  • markdmarkd mod
    edited January 2023
    That would be a custom indicator. You may be able to find plug-in for the ACP side that does something similar. I don't use ACP much (not a criticism), so I can't tell you where to look.

    The legacy side allows you to plot custom indicators, but you have to produce the indicator data yourself and upload. Probably not feasible.

    But, if aren't familiar with it, you might be interested in exploring Kaufman's adaptive moving average (KAMA). It adjusts to price behavior. Explained here:

  • ThinkorSwim (TOS) has the APTR indicator. I know that some 'gurus' talk about using it as a ranking indicator to be aware of the relative volatility across a group of stocks. You may be able to set something up in a scan in StockCharts workbench, but you can't chart it. You can chart it on TOS.

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