Thursday, November 6, 2008

Leveraged ETF Average Volatility

I am working on a couple of systems with Woodshedder at iBankCoin and just completed a quick study of average volatility for all of the leveraged ETFs currently traded. This is targeted towards refining stops for a couple of our systems that trade the leveraged ETFs but I thought it might be interesting for others to see. Basically this looks at the average volatility measured by a 10-period ATR since the ETF began trading. The AverageATR Percentage column is the daily ATR/Close which normalizes the volatility to a percentage move. The spreadsheet can be viewed HERE

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