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Need Volatility & ATR formula's for Excel
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Need Volatility & ATR formula's for Excel

  #1 (permalink)
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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

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paps View Post
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.

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  #4 (permalink)
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Fat Tails View Post
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

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  #5 (permalink)
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playing around with few values...will post them here at a later date hopefully..

thnx guys

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