Scheduled Event Volatility Indicator

• 05/02/2017 at 2:32 PM #34273
  Maz

  Hi all,

  Was hoping to put together a useful indicator that highlights routine events / scheduled and expected volatility. I’ve made a start (very rough code below and ITF attached). So far I’ve included:

  • NFP (first friday of evey month)
  • Triple Witching (Third friday of every quarter’s last month)

  Events can be checked or unchecked on and off. Could also include a showTime option which shows it just at the expected time but then wee need to take time zones into account. For 10.3 users could also make it write on the price graph?

  Please feel free to contribute to this by adding your scheduled events and please post your updated versions here.

  All the best,

  M

   

  Code:

  // showTripleWitching = 1 // showNFP = 1 once countFridays = 0 firstDayOfMonth = (day = 1) isFriday = (dayOfWeek = 5) firstWeek = (day < 8) if firstDayOfMonth then countFridays = 0 endif if isFriday and (not isFriday[1]) then countFridays = countFridays + 1 endif // Non Farm Payrolls nfpDay = isFriday and firstWeek // Triple Witching isMarch = (Month = 3) isJune = (Month = 6) isSept = (Month = 9) isDec = (Month = 12) tripleWitchingMonth = isMarch or isJune or isSept or isDec thirdFriday = isFriday and countFridays = 3 tripleWitching = thirdFriday and tripleWitchingMonth if not showNFP then nfpDay = undefined endif if not showTripleWitching then tripleWitching = undefined endif return nfpDay style(histogram) as "Non Farm Payrolls Day", tripleWitching style(histogram) as "Triple Witching Day"

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  // showTripleWitching = 1 // showNFP = 1   once countFridays = 0   firstDayOfMonth = (day = 1) isFriday  = (dayOfWeek = 5) firstWeek = (day < 8)   if firstDayOfMonth then countFridays = 0 endif if isFriday and (not isFriday[1]) then countFridays = countFridays + 1 endif     // Non Farm Payrolls nfpDay    = isFriday and firstWeek   // Triple Witching isMarch = (Month = 3) isJune = (Month = 6) isSept = (Month = 9) isDec  = (Month = 12) tripleWitchingMonth = isMarch or isJune or isSept or isDec thirdFriday = isFriday and countFridays = 3 tripleWitching = thirdFriday and tripleWitchingMonth   if not showNFP then nfpDay = undefined endif if not showTripleWitching then tripleWitching = undefined endif   return nfpDay style(histogram) as "Non Farm Payrolls Day", tripleWitching style(histogram) as "Triple Witching Day"

   

  5 users thanked author for this post.

  soad41, ALE, AutoStrategist, Elsborgtrading, Nicolas

  

  Maz

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  05/02/2017 at 9:02 PM #34332
  AutoStrategist

  Thanks Maz, I keep getting caught out by these events so no excuses now!  Tried 5 of my automated systems with this on and off and it reduced the returns for all of them, with only breakout and trend following showing slight improvements in win rate and gain/loss ratio.

  

  AutoStrategist

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