how do you calculate the stochastic on the ftse over 1 day using intraday data at 1 minute intervals.?

Question

I have tried using the standard calculations set for 3, 6 and 12 months, Where the %K uses the recent close, the lowest low and the highest high over 14 periods, but this doesn't work on a daily basis for me, because you need high, low and close data for every period to make it work. Can anybody help? I can't be the only person trying to do this.....am I?

when I say stochastic, I mean the slow and fast stochastic oscillating charts. I need to display them in real time as the data comes in at 1 minute intervals.

Answer 1

I'm not exactly sure what you are trying to calculate -- is it volatility? Your use of the word "Stochastic" is unconventional.

If you are interested in volatility, I would not recommend using tick-by-tick or minute-by-minute data, because bid-ask bounce on the underlying assets can make it look much more volatile than it really is. That is -- actual price is a noisy indicator of true value.

Volatility can be calculated by using daily data -- but you only need the last price. For the lognormal model, take the natural log of a day's price divided by the previous day's price. Then find the standard deviation of the time series. This is the daily volatility. To get the annualized volatility -- multiply by the square root of the number of days in a year. But don't use 365 -- use the number of trading days in a year (exclude weekends and holidays).

If it is something else tha tyou want -- be more clear when posing your question.