Good day all,

I am trying to add a filter for the volatility experienced during ‘Earning Reporting Seasons’. So for example just assuming a semi-annual reporting, that would starts around mid January and mid July (of course different markets have different reporting times). There is often increased volatile market, or rapid swings with news from earning reports, usually in the first few weeks of the earning season and then settling down towards end of reporting 6-odd weeks later (my hypothesis to test).  So i’m trying figure out this, to not open trades if market too volatile / choppy, during the first few weeks of earning season, to improve my auto-trading performance.

Could someone help me with the code? I have tried the below code, it does seem to improver my performance (on backtesting). However i’m not entirely sure if  improved performance is due to the code its actually doing what i am planning for it to do / what i am trying to achieve? Also anyone have any ideas or suggestions?

Much appreciated all 🙂

Atr  = AverageTrueRange[14](close)
PerC = Atr*100/close

mm  = CurrentMonth
dd  = OpenDay

EarningSeason = (mm = 1 AND dd >=15) OR (mm = 7 AND dd >=15)

IF not longonmarket and BUYCONDITION and NOT (EarningSeason and (PerC>n)) THEN
BUY 1 CONTRACT AT MARKET
ENDIF

IF not shortonmarket and SHORTCONDITION and NOT (EarningSeason and (PerC>n)) THEN
SELLSHORT 1 CONTRACT AT MARKET
ENDIF