How to predict a surge in volatility on ES, NQ?

December 20th, 2022, 03:53 PM

December 20th, 2022, 05:40 PM

MasterYan

How to predict a surge in volatility on ES, NQ?

Well, don't know how to predict. But you may analyze potential bias instead.
The attached code exports bar size in the output window of NT, if you're familiar with that.
Once you have copy&paste data on an excell spreadsheet, you can play with a pivot table.

As an example, I exported 12 years of ES, 15 min barsize.
The first attached pictures shows average hourly results for ES (sorry, using my local PC set on Italian time UCT +7), for weekly days from Sunday (1) to Friday (6).
Everything is more or less as expected: high volatility at opening time, low volatility in the night, etc. Btw, just to say, in the second picture you see a nice spot on Wednesday afternoon (13.15 UCT), that seems quite persistent during the years.

Code

#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.Indicators;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion

//////////////////////////////////////////////////////////////////////////////////////////////////
// ExportBarSize - by BERN ALGOS - December 2022 - Rev01
//
// How to use it:
// - Open the strategy analyzer and the output window 
// - Select instrument and time window 
// - Recommended timeframe is 15 minutes
// - Run 
// - Click on the output window and press CNTR + A to select all, than copy with CNTR + C 
/////////////////////////////////////////////////////////////////////////////////////////////////////

namespace NinjaTrader.NinjaScript.Strategies
{
	public class ExportBarSize : Strategy 
	{
		
		protected override void OnStateChange()
		{
			if (State == State.SetDefaults)
			{
				Description= @"ExportBarSize on output window";
				Name		= "ExportBarSize";
				Calculate	= Calculate.OnBarClose;
				TimeInForce = TimeInForce.Gtc;
			}
		}
		

		protected override void OnBarUpdate()
		{
				Print(Time[0] + "," + (High[0]-Low[0]));
		}
	}
}

Hourly

Quarterly

How to predict a surge in volatility on ES, NQ?

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How to predict a surge in volatility on ES, NQ?