Having Trouble Adding Volatility Stop Bands to Price Chart?

• 07/14/2019 at 3:32 PM #102555
  Bard

  Hi there,

  I coded some Volatility Stop Bands and it shows up as an indicator in the lower pane (pls see image) but not on the main price chart?

  I think the coding’s correct, the idea grabbed from an article called “Maximising Risk-Adjusted gains with Trade Management – Trading Recipes” was:

  “Each day divide the close by its 144-day simple moving average. The result is a relative strength indicator we can call R. Take a 21-day simple moving average of R. Plot bands at intervals 3% above and below the 21-day smoothing. If R drops below the lower band, exit the trade on tomorrow’s open.”

  Any ideas?

  Cheers
  Bard

  Trading Recipes Volatility Stop

  //R is a Relative Strength Volatility Stop Indicator //---Settings CloseMAPeriod = 144 RMAPeriod = 21 UpperValue = 3.0 //"Upperbands %" LowerValue = 3.0 //"Lowerbands %" //---end of settings R=Close/Average[CloseMAPeriod] RAve = Average[RMAPeriod](R) VolStop = Rave UpperBand = VolStop * UpperValue / 100 LowerBand = VolStop * LowerValue / 100 RETURN VolStop+UpperBand as "Volatility Upperband",VolStop-LowerBand as "Volatility Lowerband"

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  //R is a Relative Strength Volatility Stop Indicator   //---Settings   CloseMAPeriod = 144 RMAPeriod = 21   UpperValue = 3.0 //"Upperbands %" LowerValue = 3.0 //"Lowerbands %"   //---end of settings     R=Close/Average[CloseMAPeriod]   RAve = Average[RMAPeriod](R) VolStop = Rave   UpperBand = VolStop * UpperValue / 100 LowerBand = VolStop * LowerValue / 100   RETURN VolStop+UpperBand as "Volatility Upperband",VolStop-LowerBand as "Volatility Lowerband"

  

  Bard

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  07/14/2019 at 5:36 PM #102559
  Vonasi

  From your description in your post the indicator does not appear to be one that you apply to a price chart. It is meant to be a separate relative strength indicator. Just add R to your returned values to complete the indicator.

  //R is a Relative Strength Volatility Stop Indicator //---Settings CloseMAPeriod = 144 RMAPeriod = 21 UpperValue = 3.0 //"Upperbands %" LowerValue = 3.0 //"Lowerbands %" //---end of settings R=Close/Average[CloseMAPeriod] RAve = Average[RMAPeriod](R) VolStop = Rave UpperBand = VolStop * UpperValue / 100 LowerBand = VolStop * LowerValue / 100 RETURN VolStop+UpperBand as "Volatility Upperband",VolStop-LowerBand as "Volatility Lowerband", R as "R"

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  //R is a Relative Strength Volatility Stop Indicator   //---Settings   CloseMAPeriod = 144 RMAPeriod = 21   UpperValue = 3.0 //"Upperbands %" LowerValue = 3.0 //"Lowerbands %"   //---end of settings     R=Close/Average[CloseMAPeriod]   RAve = Average[RMAPeriod](R) VolStop = Rave   UpperBand = VolStop * UpperValue / 100 LowerBand = VolStop * LowerValue / 100   RETURN VolStop+UpperBand as "Volatility Upperband",VolStop-LowerBand as "Volatility Lowerband", R as "R"

   

  

  Vonasi

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  07/14/2019 at 10:53 PM #102563
  Bard

  Cheers @Vonasi, I guess I kind of pictured it being overlaid on price to be able to see how price interacts within the indicator but take your point: “If R drops below the lower band, exit the trade on tomorrow’s open.” If they’re typical volatility bands they could be added to price, right?

  

  Bard

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  07/15/2019 at 8:36 AM #102572
  Nicolas

  The code is a ratio of price and normalized. It does not apply on the price chart.

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  Nicolas

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  07/15/2019 at 10:47 AM #102594
  Vonasi

  I have created an easier to read version by normalising the upper band as 100 and the lower as 0. Top indicator in the image is this new version with the original at the bottom.

  //R is a Relative Strength Volatility Stop Indicator //---Settings CloseMAPeriod = 144 RMAPeriod = 21 UpperValue = 3.0 //"Upperbands %" LowerValue = 3.0 //"Lowerbands %" //---end of settings R=Close/Average[CloseMAPeriod] RAve = Average[RMAPeriod](R) UpperBand = RAve * (1 + (UpperValue / 100)) LowerBand = RAve * (1 - (LowerValue / 100)) RValue = ((R - lowerband) / (upperband - lowerband)) * 100 RETURN 100, 0, RValue as "R"

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  //R is a Relative Strength Volatility Stop Indicator   //---Settings CloseMAPeriod = 144 RMAPeriod = 21   UpperValue = 3.0 //"Upperbands %" LowerValue = 3.0 //"Lowerbands %" //---end of settings   R=Close/Average[CloseMAPeriod]   RAve = Average[RMAPeriod](R)   UpperBand = RAve * (1 + (UpperValue / 100)) LowerBand = RAve * (1 - (LowerValue / 100))   RValue = ((R - lowerband) / (upperband - lowerband)) * 100   RETURN 100, 0, RValue as "R"

   

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  07/15/2019 at 11:03 AM #102598
  GraHal

  Link to above code added to here

  Snippet Link Library

   

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  Bard

  

  GraHal

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  07/16/2019 at 12:26 PM #102664
  Bard

  Nice job, thanks @Vonasi.

  

  Bard

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