VolatilityRatio:=TrueRange/Max(TrueRangePds,zero) īuiling a Trading System using Volatility Ratio The above code has been derived from the following metastock code as shown below Plot(VolatilityRatio,"Volatility Ratio - Schwager",colorRed) Short=decisionSell>0 AND Cross(VolatilityRatio,VRT) VolatilityRatio=TrueRange/Max(TrueRangePds,zero) īuy =decisionBuy>0 AND Cross(VolatilityRatio,VRT) Volatility ratio – Amibroker AFL code _SECTION_BEGIN("Volatility Ratio") ĭday =Param("Decision Day Based on Prev day returns",4,3,5,1) True Range over N number of days= MAX (Day1 High, Day 2 High, …Day N High, Day 0 Close) minus MIN(Day1 Low, Day 2 Low, …Day N Low, Day 0 Close) Today’s True Range = MAX (today’s high, yesterday’s close) – MIN (today’s low, yesterday’s close) To calculate the volatility ratio, the true range is calculated using the following formula: Volatility Ratio (VR) = Today’s True Range/True Range over N number of days However marketcalls recommend to look for reversal above 0.6. The values of the volatility ratio range from 0.01-1.00 and typically traders predicts the reversal points if the value shows above 0.5. Schwager to identify trading range and potential trend reversal. The Term Volatility ratio is coined by Jack D. Author of Marketcalls.in and Co-Creator of Algomojo (Algorithmic Trading Platform for DIY Traders) Schwager Volatility Ratio Amibroker AFL code and Analysis Writing about Markets, Trading System Design, Market Sentiment, Trading Softwares & Trading Nuances since 2007 onwards. Strongly believe that market understanding and robust trading frameworks are the key to the trading success. Designed and published 100+ open source trading systems on various trading tools. Using Market Profile and Orderflow for more than a decade. Mostly Trading Nifty, Banknifty, USDINR and High Liquid Stock Derivatives. Rajandran R Follow Telecom Engineer turned Full-time Derivative Trader.
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