Volatility

• Volatility cuts above the Volatility Moving Average after 21 days below
• Volatility reaches a 21 day high
• Volatility reaches a 21 day low

Volatility cuts above the Volatility Moving Average after 21 days below

! Volatility cuts above the Volatility Moving Average after 21 days below

ISaboveVOLma if [Volatility]>[Volatility MA].
VOLTYbo if ISaboveVOLma and not ScanAny(ISaboveVOLma,21,1).

!!!Example stock AEM 9/4/01

Volatility reaches a 21 day high

! Volatility reaches a 21 day high

VOLTY21hi if HiVal([Volatility],21)=[Volatility].

!!!Example stock AIG on 09/04/2001

Volatility reaches a 21 day low

! Volatility reaches a 21 day low

VOLTY21lo if LoVal([Volatility],21)=[Volatility].

!!!Example stock SUN on 09/04/2001