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Welles Wilder's Volatility System

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  • Welles Wilder's Volatility System

    For Stop Loss Placement, like the included Parabolic SAR:

    Wilder calculates his SAR (stop and reverse level) using a 7-day Average True Range multiplied by a constant of 3.0

    This is then subtracted from the highest recent close to arrive at the SAR stop level in an up-trend.

    In a down-trend it is added to the lowest recent close to arrive at the SAR.

    SAR has to be recalculated every day because of the change to ATR.

    The Volatility Index (VI) is described by Wilder as:

    VI Today = (13 * VI Prev + TR1) / 14 where TR1 is today's true range.

    He defines the true range as the greatest of the following:

    The distance from today's high to today's low

    The distance from yesterday's close to today's high, or

    The distance from yesterday's close to today's low.
    Last edited by JT47319; 06-08-2003, 11:24 PM.

  • #2
    I would like to see this study also

    thank you

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