Average true range volatility move

Average true range volatility move

Glen
2016-08-03 06:43:02

Hi guys,

I am trying to create a system using two buy indicators. One that identifies if the close is above the 60th percentile of the days trading range.

One that identifies if the close is in the 75th percentile of the 15 day ATR.

And finally one where the stock is making a 15 day high.

The code I imagine I need is the following:

close >= low+ ((high-low)*0.6) AND
close > (Ref(close, 0) + 0.75 * ATR(15))

If anyone has any comments or suggestions that would be greatly appreciated.

Cheers

QuantShare
2016-08-04 03:02:06

Hi,

Here is an example:
buy = close >= low+ ((high-low)*0.6) AND close > (Ref(close, 1) + (0.75 * ATR(15))) AND close == hhv(close, 15);

Ref(close, 1) references the previous bar's close

You can plot any rule or variable on a chart to have a visual confirmation.

Get more messages

No more messages

Back


Trading Items Wilder Volatility Index - Average True Range Wilder Volatility Index - Average True Range Trading System ATR - Average True Range Drawing Tool Percent High Low Range as a measure of stock volatility Volatility Ratio - Technical Indicator	How-to Lessons How to create a volatility-based Stop - Dynamic stop based on the... How to scale and move the chart Y-axis How to calculate the average of a time series using the money man... How to create a moving average of an indicator How to draw distances on a chart?
Related Forum Threads Calculate total volatility of portfolio Chart for 1m bars over a custom time range How to obtain volatility of all the stocks in the portfolio? Questions and Code to Share: Weekly Expected Move (IV) Range Bars Implemented	Blog Posts Using Average True Range to Measure Intraday Volatility Different Types of Trading Indicators: Trend, Momentum, Volatilit... Volatility and trading systems Forecast volatility using trading rules and neural networks Trading System: Moving average crossover and few others buy and s...