Coding Filter For Volatility in Earning Seasons?

• 04/06/2022 at 3:07 AM #191295
  SkippyTrader

  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 🙂

  Coding Filter For Earning Seasons Volatility

  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

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

  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

   

  

  SkippyTrader

  Participant

  Topics: 7

  Replies: 35

  Been thanked: 7 times
  04/06/2022 at 8:35 AM #191302
  robertogozzi

  It sounds correct and logical. You want to enter on some dates, if the ratio between ATR and price (CLOSE) is > a value of your choice (N).

  If that’s what you want, then I’d say it’s fine.

  1 user thanked author for this post.

  SkippyTrader

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16469

  Been thanked: 3643 times
  04/07/2022 at 6:54 AM #191358
  SkippyTrader

  robertogozzi wrote:

  You want to enter on some dates, if the ratio between ATR and price (CLOSE) is > a value of your choice (N).

  Thanks. I want to NOT enter during the dates. If greater then value of my choice (N). Which looking at backtest results is what it is doing.

  For example to avoid buying during the whiplash’s that can occur in Earning Reporting Seasons when Megacap’s earnings come out; for example the large whiplash occurred after Facebook/Meta’s disappointed, and then the about-face change after Amazon beat analysts with their earning reports

  

  SkippyTrader

  Participant

  Topics: 7

  Replies: 35

  Been thanked: 7 times
  04/07/2022 at 7:14 AM #191360
  robertogozzi

  Sorry, I missed NOT.

  That doesn’t change much as to my reply, though.

  I actually have no idea about suggestions to help you.

   

  1 user thanked author for this post.

  SkippyTrader

  

  robertogozzi

  Moderator

  Topics: 69

  Replies: 16469

  Been thanked: 3643 times
• Author
  Posts