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Volatility for differing times and instruments


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Volatility for differing times and instruments

  #1 (permalink)
 
bluemele's Avatar
 bluemele 
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Does anyone know a simple way to test ATR during a certain time period?

For instance, I would like to know the highest volatility over a certain time frame for a specific instrument.

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  #3 (permalink)
 
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 Big Mike 
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bluemele View Post
Does anyone know a simple way to test ATR during a certain time period?

For instance, I would like to know the highest volatility over a certain time frame for a specific instrument.

Create a new chart with the session period you want to test against, set the historical period to the lookback period you want, and put an ATR indicator on the chart.

Mike

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 Fat Tails 
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bluemele View Post
Does anyone know a simple way to test ATR during a certain time period?

For instance, I would like to know the highest volatility over a certain time frame for a specific instrument.


I have created two indicators that calculate average range and average volume for each bar over the last n weeks. The result is displayed as a specific profile for each day of the week.

For example, if you have a 30 minutes chart of ES and look at the opening period between 8:30 amd 9:00 AM CT for yesterday (Friday January 21), the indicators will display the average volume and average range of the last 20 Fridays for this bar. You can increase the lookback period, which will make the indicator use a little bit more time to perform the calculations. The indicator should correctly address daylight savings times issues for instruments traded in all timezones.

The indicators can be downloaded here:



There is a thread that describes the indicators here:




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 bluemele 
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Mike, Fat Tails,

Thanks! The indicator is perfect! I remember seeing something but there are so many indicators and possibilities! haha...

Thank you thank you thank you!


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  #6 (permalink)
 uexkuell 
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bluemele View Post
I would like to know the highest volatility over a certain time frame for a specific instrument.

Do you have an idea about a trading approach using this information?

  #7 (permalink)
 
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 Big Mike 
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To prevent a split topic, please post any follow-ups here:



Mike

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Last Updated on January 23, 2011


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