## Volatility risk filter blox

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
rdh2f
Roundtable Fellow
Posts: 73
Joined: Mon Aug 16, 2004 5:24 pm

### Volatility risk filter blox

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

Roundtable Fellow
Posts: 50
Joined: Tue Jul 30, 2013 6:18 pm
you might want to look here

viewtopic.php?t=7920&highlight=volatility

trending3029
Full Member
Posts: 16
Joined: Tue Sep 27, 2011 12:27 am
You could also use Kaufmans efficiency ratio:
ER = Direction / Volatility

Where:

Direction = ABS (Close â€“ Close[n])

Volatility = n ∑ (ABS(Close â€“ Close[1]))

n = The efficiency ratio period.

Here is an example of a 3 period ER:
- See more at: http://etfhq.com/blog/2011/02/07/kaufma ... kwGyO.dpuf

rdh2f
Roundtable Fellow
Posts: 73
Joined: Mon Aug 16, 2004 5:24 pm
I decided to take a look at the current ATR and compare that to a certain look back period and reject trades based on a certain sigma level above or below the historic look back

Essentially, if the current ATR was in the top or bottom 2-5% over the last xxx number of days, reject trade

I've run countless optimizations and am not finding the trades rejected any more significantly likely to be a loser than "normal"

if anyone has any thoughts or wants to pursue the concept further, let me know

direct email: rdh2f@yahoo.com