Volatility risk filter blox
Posted: Mon Aug 12, 2013 2:40 pm
I'd like to explore adding a volatility risk filter but have trouble coding (as anyone can see if they look at my past questions).
A blox that has 3 variables/inputs:
ATR 1 : 14 (day)
ATR 2 : 100 (day)
% difference: 50
Rule: if the ATR1 is 50% higher than ATR2 day, then ignore trade signal. Otherwise, enter as normal.
If anyone wants to help and finds this simple, I'd greatly appreciate it and happily share my results etc...
My premise is that my best trades occur when vol is lowest and explodes (see gold this year) etc...I'd like to test this exhaustively across every asset and optimize etc...
Thanks
A blox that has 3 variables/inputs:
ATR 1 : 14 (day)
ATR 2 : 100 (day)
% difference: 50
Rule: if the ATR1 is 50% higher than ATR2 day, then ignore trade signal. Otherwise, enter as normal.
If anyone wants to help and finds this simple, I'd greatly appreciate it and happily share my results etc...
My premise is that my best trades occur when vol is lowest and explodes (see gold this year) etc...I'd like to test this exhaustively across every asset and optimize etc...
Thanks