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What is a Volatility Ratio (Schwager)?
What is a Volatility Ratio (Schwager)?
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- Lisa
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- 1 year ago
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This ratio is similar to one used by Jack Schwager in Technical Analysis to identify wide-ranging days. |
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The volatility ratio by Jack Schwager expresses the latest day's trading range as a ratio of the overall range for a past N days. “True range” is used for both (see True Range), so gaps are included in the calculation. For an N-day true range the close immediately preceding those N days is incorporated. Thus TR Ndays = max(high[1], high[2], ... high[N], close[N+1]) - min(low[1], low[2], ... low[N], close[N+1]) The volatility ratio is then simply TR VOLR = -------- TR Ndays When a strong breakout from a tight range occurs the day's range can be a sizeable fraction of the recent range. A level of 0.5 is considered significant and that's drawn as a line in Chart. |
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This ratio is derived from the Volatility Ratio introduced by Jack Schwager in Technical Analysis to identify wide-ranging days. Wide ranging days are signaled by a Volatility Ratio greater than 2.0. |
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0 Votes
The volatility ratio by Jack Schwager expresses the latest day's trading range as a ratio of the overall range for a past N days. “True range†is used for both (see True Range), so gaps are included in the calculation. |
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0 Votes
Wide ranging days are signaled by a Volatility Ratio greater than 2.0 |
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0 Votes
This ratio is similar to one used by Jack Schwager in Technical Analysis to identify wide-ranging days. |
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