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Need Volatility & ATR formula's for Excel
 Updated: May 14th, 2014 (02:17 PM) Views / Replies: 3,454 / 4 Created: May 13th, 2014 (01:20 AM) by paps Attachments: 0

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# Need Volatility & ATR formula's for Excel

 May 13th, 2014, 01:20 AM #1 (permalink) Elite Member SF Bay Area + CA/US   Trading Experience: None Platform: TS, TOS, Ninja(Analytics) Favorite Futures: NQ CL, ES when volatile mrkts     Posts: 1,660 since Oct 2011 Thanks: 2,145 given, 1,638 received Need Volatility & ATR formula's for Excel Guys if we have O/H/L/C and Volume could you give me formulas to calculate the following in excel:- 1) Volatility (Not Implied Volatility) 2) ATR

 May 13th, 2014, 01:20 AM #2 (permalink) Quick Summary Quick Summary Post Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

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paps
 Guys if we have O/H/L/C and Volume could you give me formulas to calculate the following in excel:- 1) Volatility (Not Implied Volatility) 2) ATR

A) Annualized volatility

first column: daily closes
second column: calculate the daily returns (percent change from prior day)
third column: logarithm of daily returns
fourth column: sample standard deviation of logarithm of daily returns over the last 252 days
fifth column: multiply sample standard deviation with the square root of 252 to obtain the annualized volatility

B) Average true range

Basically you take the true range and calculated an exponential or a simple moving averages of the true range.

first column: calculate Max(high, prior close)
second column: calculate Min( low, prior close)
third column: subtract second column from first column (this is the true range)
fourth column: calculate a N-period simple moving average from the third column

If you wish to use an EMA instead of the SMA for calculating the average, this is possible. The original ATR was based on an EMA, because Welles Wilder had to calculate it manually. The EMA is based on a simple recursive formula, so it is less work to calculate it manually than a SMA. Wilder was just lazy. With PCs you can use both EMA or SMA.

 The following 6 users say Thank You to Fat Tails for this post:

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Posts: 1,660 since Oct 2011

Fat Tails
 A) Annualized volatility first column: daily closes second column: calculate the daily returns (percent change from prior day) third column: logarithm of daily returns fourth column: sample standard deviation of logarithm of daily returns over the last 252 days fifth column: multiply sample standard deviation with the square root of 252 to obtain the annualized volatility B) Average true range Basically you take the true range and calculated an exponential or a simple moving averages of the true range. first column: calculate Max(high, prior close) second column: calculate Min( low, prior close) third column: subtract second column from first column (this is the true range) fourth column: calculate a N-period simple moving average from the third column If you wish to use an EMA instead of the SMA for calculating the average, this is possible. The original ATR was based on an EMA, because Welles Wilder had to calculate it manually. The EMA is based on a simple recursive formula, so it is less work to calculate it manually than a SMA. Wilder was just lazy. With PCs you can use both EMA or SMA.

Wow...thanks @Fat Tails

 May 14th, 2014, 02:17 PM #5 (permalink) Elite Member SF Bay Area + CA/US   Trading Experience: None Platform: TS, TOS, Ninja(Analytics) Favorite Futures: NQ CL, ES when volatile mrkts     Posts: 1,660 since Oct 2011 Thanks: 2,145 given, 1,638 received playing around with few values...will post them here at a later date hopefully.. thnx guys

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