Volatility scalper indicator for ProRealTime

This indicator is sensing the high volatility of market price. It reflects when the market makes big moves on the same bar. I think it can be applied to any timeframe, but i have a better feeling on applying it on higher timeframe on forex pairs. Nevertheless, it would also make the job on any market, but the treshold parameter would be adapt to point/decimal of the item you would trade.

//Parameters : 4 hours timeframe on Forex : treshold = 0.01

if(close-close[1])>0 THEN
    upsidevol = averagetruerange[1]+(averagetruerange[1]-averagetruerange[2])*0.5
    downsidevol = 0
ELSE
    upsidevol = 0
    downsidevol = averagetruerange[1]+(averagetruerange[1]-averagetruerange[2])*0.5
ENDIF

RETURN upsidevol as "up", downsidevol as "down", treshold as "treshold"

Download

Filename: Volatility-scalper.itf

Downloads: 192

Comments

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Maz

9 years ago

I actually like this very simple idea. It can also be useful for market micro-structure systems (seconds and milliseconds) when used in conjunction with other filters.

I have introduced an automatic threshold parameter with smoothing and vertical shift controls.

// Volatility Scalper
// Version 1.2
// --

// Variables
//  threshATRPeriod = 40
//  smoothing = 2
//  verticalShiftPercent = 0
// --

threshATRPeriod = max(1, threshATRPeriod)
smoothing       = max(1, smoothing)

diff = averagetruerange[1] - averagetruerange[2]
if(close-close[1])>0 THEN
upsidevol = averagetruerange[1] + diff * 0.5
upsideVol = max(upsideVol, 0)
downsidevol = 0
ELSE 
upsidevol = 0
downsidevol = averagetruerange[1] + diff * 0.5
downsideVol = max(downsideVol, 0)
ENDIF

t = DEMA[smoothing](AverageTrueRange[threshATRPeriod])
t = t + (t*(verticalShiftPercent/100))

RETURN upsidevol coloured(150, 200, 100) style(histogram, 1) as "up" , downsidevol coloured(200, 150, 100) style(histogram, 1) as "down", t as "treshold"

Nicolas

9 years ago

Thanks Maz, I'll have a look tomorrow.

Sofitech

10 years ago

Bonjour. J'aimerais savoir s'il est possible de "truquer" un peu l'indicateur pour qu'il donne le résultat sur timeframe plus important que celui affiché... bref de contourner la limitation MTF de PRT pour cet indicateur.

Dimi.A

10 years ago

Thanks mate, how about 0.001? Or is that too sensitive?

Nicolas

10 years ago

Depends of which pair you are trading and the actual volatility. Since it is not calculated dynamically, you have to set it with a value that suits to the market.

Dimi.A

10 years ago

Hey Nic, is there any issue with the indicator on your end with different pairs. I'm not sure what settings I should be using. Could you please provide your settings?

Thanks mate!

Nicolas

10 years ago

The "threshold" parameter should be adapted to the instrument, for Forex, use 0.01 as mentioned in the code.