Here is my question. The percentiles are based on a lookback period, a 1 year window I believe. Wouldn't it be better to use all available IV data...
Check this article, specifically section 3. http://thfinance.de/RobertTompkins/EJF2.pdf
Check the work of Robert Tompkins on normalized volatility surfaces. His work shows some evidence that these normalized surfaces are stable over...
It's really simple and basic. Price can't move until a buy or sell transaction takes place. Nobody's opinion makes the market move until they lay...
There is one way and one way only to make the price of an asset go up, and that is to buy it. Therefore, what moves the market is buying and...
If this tool does nothing else than to get people to think about maximizing payoff (payoff = probability*(reward/risk)) instead of maximizing...
First of all, don't buy it because you can find it for free on the web. Axiom: 1. a statement or proposition that is regarded as being...
I suggest you review the work of John Ehlers. Specifically, "Rocket Science for Traders" gives a good review of moving averages. Also, look for...
The 60% is telling you what the market says the volatility is given the current price for the option. However, you can't solve for IV directly...
I don't think they are intended to be zero-lag, just low lag. BTW it is trivial to make ANY MA a zero lag MA. Follow these steps: 1)...
Why does the number 150 or an SMA versus any other MA type have meaning to you? I'm not criticizing you, just trying to help you understand the...
Look at the work of John Ehlers. Specifically, his method of determining the dominant cycle, and his Inverse Fisher Transform RSI indicator. His...
So use a method that incorporates both, such as: buy if price closed down 7 days in a row AND close > 100MA You buy on weakness within the...
It's called survivorship bias. http://en.wikipedia.org/wiki/Survivorship_bias
The following site has a powershell script to download data from yahoo:...
Yes, but NR is a derivative technique. If the price-volatility curve is relatively smooth, such as European style exercise, fine. If the curve has...
Here you go, from http://finance.bi.no/~bernt/gcc_prog/index.html #include <cmath> #include "fin_recipes.h" double...
Exactly. In trading, the true value of p is basically unknowable. It's not like tossing dice. All you can do is make an educated guess at p,...
For simple algorithms, Stockfetcher is easy to use for scanning the equity markets. www.stockfetcher.com However it doesn't support higher...
This has a set period of 14 days. Following Ehlers work, you should calculate the dominate cycle first, and use that value as the period input....
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