Intraday volatility explosion screener

Category: Screeners By: Nicolas Created: April 28, 2016, 9:04 AM
April 28, 2016, 9:04 AM
Screeners
3 Comments

This screener is an attempt to find price volatility explosion in intraday. The code spots if the last activity of the Bollinger bands were quiet before it breaks up or down a keltner channel made of typical price moving average. 

The default parameters work well for forex on a 5 minutes timeframe.

You can try and explore the parameters for any instrument and timeframe horizons. If you find better parameters or ideas to complete this code, I would be glad to improve it.

 

//********* Parameters *********
//Keltner channel
n=20
coeff=1.5
//Bollinger Bands
period=10
deviation=1
//Candles lookback
xCandles=4
//******************************

//keltner bands
MA = Average[N](TypicalPrice)
UpperBand = MA + coeff*Average[N](Range)
LowerBand = MA - coeff*Average[N](Range)

//bollinger bands
BBmiddle = average[period](close)
dev = std[period](close)
BBup = BBmiddle+dev*deviation
BBdown = BBmiddle-dev*deviation

count = 0
for i = 1 to xCandles do
 c1 = BBup[i]<UpperBand[i]
 c2 = BBdown[i]>LowerBand[i]
  if c1 and c2 then
   count = count+1
  endif
next

validate = count=xCandles
bullishexplosion = BBup>UpperBand
bearishexplosion = BBdown<LowerBand

SCREENER [validate AND (bullishexplosion OR bearishexplosion)] (close-MA)

 

Download
Filename: PRC_IntradayVolatilityExplo.itf
Downloads: 390
Nicolas Master
I created ProRealCode because I believe in the power of shared knowledge. I spend my time coding new tools and helping members solve complex problems. If you are stuck on a code or need a fresh perspective on a strategy, I am always willing to help. Welcome to the community!
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