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Does this make sense? Dynamic std dev based on ATR
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Does this make sense? Dynamic std dev based on ATR

  #1 (permalink)
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Does this make sense? Dynamic std dev based on ATR

For a strategy of mine I have found an edge by using bollinger bands with a dynamic standard deviation. The standard deviation used in the BB calculation is dynamic by way of being a multiple of ATR (normalized). So, the std dev for every bollinger band calculation is going to be unique if the price has changed at all. I was experimenting with this and it improved my already optimized results (walk forward).

Since standard deviation is already a type of volatility indicator, is tying it to ATR overkill? Maybe it gives you some blend of the 2 methods that can measure volatility a little differently?

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There are two critical questions you must ask yourself?

1) Does it lose money?
2) Does it make money?

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