Store Volatility number 1-2hrs before opening a trade

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06/29/2016 at 5:17 PM #9993 quote

davidp13
Participant

Average

Hi all,

I’m trying to test the volatility prior to opening a trade. I’m trying to identify if Volatility has spike over a certain number during the last two hours and if so the trade should not open. How do I go about effectively storing it to a variable and then re-use at the time the trades tests the market before it opens a trade?

Thanks

06/29/2016 at 6:51 PM #9996 quote

Nicolas
Keymaster

Master

How do you measure volatility? If you have your own formula, you can look at its value with simple offset in the past.

06/29/2016 at 7:00 PM #9997 quote
davidp13
Participant

Average
I use the Chaikan Volatility indicator. So to measure the max, lets say from 7am to 9am one can use code like
```
VOL = Volatility[10,10]

IF TIME>=090000 and TIME <= 090000 THEN
VOLATEST = MAX(VOLATEST,VOL)
ENDIF
```
That will give me the MAX no before the trade might open at 090500. But I need the reading to be ZERO before 7am and then ZERO again after 9am.

Possible?
06/29/2016 at 7:47 PM #10001 quote

Nicolas
Keymaster

Master

You want to reset your VOLATEST value to 0 after 090000 ? Anyway, just set VOLATEST=0 at the TIME you want.
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Store Volatility number 1-2hrs before opening a trade

ProOrder: Automated Strategies & Backtesting

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davidp13 @davidp13 Participant

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This topic contains 3 replies,
has 2 voices, and was last updated by Nicolas
9 years, 7 months ago.

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Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	06/29/2016
Status:	Active
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