Denver Colorado/USA
Experience: Intermediate
Platform: SierraChart
Broker: AMP
Trading: ES
Posts: 116 since May 2017
Thanks Given: 132
Thanks Received: 145
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Hello,
I trade many different futures contracts and like to compare volatility between them for risk management and for strategy development. I have been using daily Average Percentage True Range (APTR) as a volatility measure, but I think I can do better.
Daily ATR can be used to measure volatility, but that is not the whole picture. 2 contracts could have the same daily APTR, but one could be doing twice the intra-day zigzagging as the other one. How do we get total movement?
I was thinking that you could use a 1 period APTR reading applied to a 1m chart and then total the results for the day? Obviously any zigzags that occurred during the minute period would not be counted, so I guess you could go down to the tick if you wanted.
This could be done in excel if you have the OHLC data, but an indicator would be better of course. I am currently using Think or Swim, but also play around in Sierra chart for analysis purposes. I have no idea if there are any existing indicators for this in either platform.
Ideas?
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