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Measuring and Experimenting with Bar Volatility irROCVolatility


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Measuring and Experimenting with Bar Volatility irROCVolatility

  #1 (permalink)
 OpalDragon 
Des Moines, Iowa
 
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I wanted to start a new thread discussing the indicator irROCVolatility created by TopGunNote

It is found here on the download section:



We need to find ways to correctly quantify new volatility instantly and in Real time

this would be awesome for a kind of pull back entry....

For example if your indicator is telling you that new bar to bar volatility is 10 ticks >>> well you SHOULD place your new entry 8 ticks farther back from where you are thinking of entering maybe....?

This should give you a MUCH SAFER ENTRY...


or at least will tell you where to put your stops farther or closer....

-----------------------------------------------
The other use of these studies is to visualize the activity of institutional players even better...

Be able to see exactly when they are whipping price back and forth even better and develop studies on exactly how much does volatility increase in those times.

KeyWords:
BarVolatility Intraday Volatility

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  #2 (permalink)
 
Botts's Avatar
 Botts 
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OpalDragon View Post
I wanted to start a new thread discussing the indicator irROCVolatility created by TopGunNote

It is found here on the download section:


We need to find ways to correctly quantify new volatility instantly and in Real time
this would be awesome for a kind of pull back entry....

For example if your indicator is telling you that new bar to bar volatility is 10 ticks >>> well you SHOULD place your new entry 8 ticks farther back from where you are thinking of entering maybe....?

This should give you a MUCH SAFER ENTRY...
or at least will tell you where to put your stops farther or closer....

-----------------------------------------------
The other use of these studies is to visualize the activity of institutional players even better...

Be able to see exactly when they are whipping price back and forth even better and develop studies on exactly how much does volatility increase in those times.

I'm not sure the indicator you are referring to can do all of the things you're listing in your description here.
In fact I know it can't do all of those things.

I put the irROCVolatility indicator together to provide me with the "Average" of three different ROC (Rate of Change) indicators.

The basic ROC (Rate of Change) indicator is actually a "Momentum" oscillator designed to measure the percent change in price from one period to the next.

There is a detailed description of the ROC (Rate of Change) indicator at Stockcharts.com that can be found here:

https://school.stockcharts.com:443/doku.php?id=technical_indicators:rate_of_change_roc_and_momentum

As I mentioned in the writeup when I posted the indicator, I was using three separate ROC indicators to arrive at an average of the three different Weekly periods (2, 5 and 7 weeks) for posting to an Excel spreadsheet to help me visualize the changes in momentum of the different markets to help me visualize the "Strength" of those tracked markets. (See attachments for an example of my Excel work from 2013)

That is the reasoning behind my arriving at 14, 35 & 49 (days) as the default settings when I put the indicator together.
I could have chosen 10, 25 & 35 (trading days) but I wasn't sure if the chart was calculating calendar days or trading days?

If you look at the article on Stockcharts.com you'll see they refer to Monthly, (21 days) Quarterly, (63 days) Half Year (125 days) and Yearly (250 days) in their discussion.

In hindsight I suppose I should have named the resulting indicator differently, but the naming convention aside, it does appear to do a great job of highlighting the Directional Momentum on almost any timeframe or volume / tick setting you choose to apply it to.

I hope that helps clear things up, and if I can answer any other questions you might have please ask them here or send me a "Private Message" (Remember Big Mike would prefer we discuss things here for everyone to join in)

Trade well,
TGN

R.I.P. John Bottomley (Botts), 1956-2022.
Please visit this thread for more information.
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  #3 (permalink)
 
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 LittleFinger 
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OpalDragon View Post
We need to find ways to correctly quantify new volatility instantly and in Real time

One thing I have used before to do this is simply ATR.

I have set it up like this before and found it useful for quantifying exactly how volatile it is in real time for the specific instrument.

This is only for a single time frame like 5m bars or daily.

Set up 3 ATRs on your chart. I like 200 period,50, and something less than 10.

Now, zoom way out on your chart and start scrolling through to find days that had big price spikes. For each of your 3 different ATRs find the average spike level and put a horizontal line on the ATR indicator chart at this level for each of the 3 ATRs. Determining this "average" is up to you, so make it more or less sensitive depending on your needs. If you have a good charting platform you should be able to combine all 3 ATRs into one indicator. They are using the same scale, so it's easier to compare them this way.

Now at any time I can look at the chart and see where the short and medium-term ATR levels are at relative to the longer average and relative to their average "significant spike levels".

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  #4 (permalink)
 semiopen 
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This is an analysis of R13, R31, and R43. I could do the exact numbers mentioned, but that would be pointless unless I missed something.

Three indicators have 8 distinct states - 2 to the third power.

The first table is profit from investing $10K in SPY on each state transition from October 26, 2007 until yesterday.



This is the usual distribution for multiple states for major ETFs. The most favorable state is AAA and that occurs about 50% of the time. BBB is the least favorable state and occurs second most. In 4 state analysis (two indicators) BB usually appears about 25% of the time. Both AAA and BBB usually make money, the other states are questionable, shorter, and rarer.

Here is the same table from 2017



The next is a P&L chart by year for AAA.



This is typically more jagged than BBB.



Let me finish with showing two charts from the more dubious states.




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  #5 (permalink)
 semiopen 
hillsborough nj
 
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I haven't looked at the volatility discussion carefully. My guess is that volatility is unpredictable, and that that can be mathematically proven.

Speaking of the letter R

This is the two state situation for rate of change since 10/29/2007 until yesterday.



At first glance, R31B and R43A look interesting. 31 is generally one of the real interesting numbers in my momentum analysis.

The next table is R31 and R43 in a four state analytical framework.



Note that FProf for AA and AB is equal to FProf for R31A. As usual, the negative state is more profitable, however the AMin column suggests higher risk for negative state positions which is probably more than compensated for by the increased profit per period. Note also, that by combining the two states, performance is not clearly improved. One could conceivably avoid the unclear action in the intermediate states. Playing only AA seems weak.

I started seriously looking at this stuff late last year when I was playing with an R03R07 above strategy. Looks like a killer from 2017.



Not so much if we look back longer though.


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  #6 (permalink)
 jhugg 
Seattle
 
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TopGunNote View Post
I'm not sure the indicator you are referring to can do all of the things you're listing in your description here.
In fact I know it can't do all of those things.

I put the irROCVolatility indicator together to provide me with the "Average" of three different ROC (Rate of Change) indicators.

The basic ROC (Rate of Change) indicator is actually a "Momentum" oscillator designed to measure the percent change in price from one period to the next.

There is a detailed description of the ROC (Rate of Change) indicator at Stockcharts.com that can be found here:

https://school.stockcharts.com:443/doku.php?id=technical_indicators:rate_of_change_roc_and_momentum

As I mentioned in the writeup when I posted the indicator, I was using three separate ROC indicators to arrive at an average of the three different Weekly periods (2, 5 and 7 weeks) for posting to an Excel spreadsheet to help me visualize the changes in momentum of the different markets to help me visualize the "Strength" of those tracked markets. (See attachments for an example of my Excel work from 2013)

That is the reasoning behind my arriving at 14, 35 & 49 (days) as the default settings when I put the indicator together.
I could have chosen 10, 25 & 35 (trading days) but I wasn't sure if the chart was calculating calendar days or trading days?

If you look at the article on Stockcharts.com you'll see they refer to Monthly, (21 days) Quarterly, (63 days) Half Year (125 days) and Yearly (250 days) in their discussion.

In hindsight I suppose I should have named the resulting indicator differently, but the naming convention aside, it does appear to do a great job of highlighting the Directional Momentum on almost any timeframe or volume / tick setting you choose to apply it to.

I hope that helps clear things up, and if I can answer any other questions you might have please ask them here or send me a "Private Message" (Remember Big Mike would prefer we discuss things here for everyone to join in)

Trade well,
TGN

Hello TGN,

Thank you for the explanation of your indicator and the link to the article on ROC. I'm a relatively new trader (futures), and this has made the ROC much more clear to me.

I downloaded your indicator and find that it is very helpful for gauging the market direction and momentum. I now prefer it over delta and order flow. I trade simple breakout trades using your average ROC as a filter, taking only long trades when the ROC is positive, short trades when it is negative.

I have some questions:

1) For smaller timeframes (i.e. 2minute, 15 range, 8 Unirenko), do you still like the settings 14-35-49?

2) Would you object to my using the irROCVolatility in a strategy? I am thinking of asking for help automating the trades on my breakout indicator, and I would love to include the momentum filter.

3) Where did you get the cool clock on your charts?

Regards,
jhugg

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  #7 (permalink)
 
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 Botts 
Penetanguishene, Ontario, Canada
 
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jhugg View Post
Hello TGN,

Thank you for the explanation of your indicator and the link to the article on ROC. I'm a relatively new trader (futures), and this has made the ROC much more clear to me.

I downloaded your indicator and find that it is very helpful for gauging the market direction and momentum. I now prefer it over delta and order flow. I trade simple breakout trades using your average ROC as a filter, taking only long trades when the ROC is positive, short trades when it is negative.

I have some questions:

1) For smaller timeframes (i.e. 2minute, 15 range, 8 Unirenko), do you still like the settings 14-35-49?

2) Would you object to my using the irROCVolatility in a strategy? I am thinking of asking for help automating the trades on my breakout indicator, and I would love to include the momentum filter.

3) Where did you get the cool clock on your charts?

Regards,
jhugg

It looks like my answer to your question was a casualty of yesterday's server outage here at futures.io.

I'm glad to hear you find the indicator helpful, as for your questions:

1) I've tried using different settings on smaller timeframes and don't really see any huge differences but you should feel free to use whatever settings you like.
(I don't use Unirenko bars so I can't comment on what to do with those.)

2) I have no objections to you using the indicator in any way or on any settings you'd like, it's entirely up to you.
It is after all an Open Source indicator.

3) As for the "cool clock", I wish I had a dollar for every time someone asked me about those clocks.
It's basically a throwback to when Windows 7 had Desktop Gadgets.
They (Microsoft) did away with them because some people were using the Gadgets as a way to exploit systems so they removed them in later versions of Windows.

Having said that you can still find some carry over gadgets that were developed for Windows 8 that still work on Windows 10.
If you go to AddGadgets.com and have a look around, you should find what you're looking for.

All the best with your journey.
John B

R.I.P. John Bottomley (Botts), 1956-2022.
Please visit this thread for more information.
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  #8 (permalink)
 hedgeplay 
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jhugg View Post

3) Where did you get the cool clock on your charts?

jhugg, thanks for asking this question.

TopGunNote. Where do I send the dollar?

HedgePlay

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