Variable self-optimised based on volatility

Viewing 3 posts - 1 through 3 (of 3 total)

Author

Posts
07/24/2022 at 5:28 PM #197852 quote

eckaw
Participant

Veteran

I have a simple strategy script that has a variable N

When there is high volatility or momentum in the market it seems to perform better with a larger N number

When there is lower volatility the equity curve is almost flat.

This made me think it might be an idea to include some kind of volatility code to adjust the N variable.

i.e when volatility is high over X periods: N number increases (and vice versa)

How can I go about and code this?

(if possible, I’d like to keep the code simple and add as little new variables as possible)

07/25/2022 at 1:17 PM #197909 quote

snucke
Participant

Veteran

maybe you have a medianvalue where N is not high and not to low?

then you can do N = ATR[x] + medianvalue of N

you can also use the VIXfix (somewhere in the library) instead of ATR?

eckaw thanked this post

07/25/2022 at 3:07 PM #197924 quote

Nicolas
Keymaster

Master

You have to define first what volatility value you want to use?

Then you can think of a normalization of N upon that value.

eckaw thanked this post
Author

Posts

Viewing 3 posts - 1 through 3 (of 3 total)

You must be logged in to reply to this topic.

Login your account

Variable self-optimised based on volatility

ProOrder: Automated Strategies & Backtesting

New Reply

Author

eckaw @eckaw Participant

Summary

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

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	07/24/2022
Status:	Active
Attachments:	No files

Loading...