Volatility scalper indicator

Volatility scalper indicator

This indicator is sensing the high volatility of market price. It reflects when the market makes big moves on the same bar. I think it can be applied to any timeframe, but i have a better feeling on applying it on higher timeframe on forex pairs. Nevertheless, it would also make the job on any market, but the treshold parameter would be adapt to point/decimal of the item you would trade.

 

 

 

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  1. Dimi.A • 10/13/2015 #

    Hey Nic, is there any issue with the indicator on your end with different pairs. I’m not sure what settings I should be using. Could you please provide your settings?Thanks mate!

    • Nicolas • 10/13/2015 #

      The “threshold” parameter should be adapted to the instrument, for Forex, use 0.01 as mentioned in the code.

  2. Dimi.A • 10/13/2015 #

    Thanks mate, how about 0.001? Or is that too sensitive?

    • Nicolas • 10/13/2015 #

      Depends of which pair you are trading and the actual volatility. Since it is not calculated dynamically, you have to set it with a value that suits to the market.

  3. Sofitech • 10/13/2015 #

    Bonjour. J’aimerais savoir s’il est possible de “truquer” un peu l’indicateur pour qu’il donne le résultat sur timeframe plus important que celui affiché… bref de contourner la limitation MTF de PRT pour cet indicateur.

  4. Maz • 10/13/2015 #

    I actually like this very simple idea. It can also be useful for market micro-structure systems (seconds and milliseconds) when used in conjunction with other filters. 
    I have introduced an automatic threshold parameter with smoothing and vertical shift controls. 
    // Volatility Scalper
    // Version 1.2
    // --

    // Variables
    // threshATRPeriod = 40
    // smoothing = 2
    // verticalShiftPercent = 0
    // --

    threshATRPeriod = max(1, threshATRPeriod)
    smoothing = max(1, smoothing)

    diff = averagetruerange[1] - averagetruerange[2]
    if(close-close[1])>0 THEN
    upsidevol = averagetruerange[1] + diff * 0.5
    upsideVol = max(upsideVol, 0)
    downsidevol = 0
    ELSE
    upsidevol = 0
    downsidevol = averagetruerange[1] + diff * 0.5
    downsideVol = max(downsideVol, 0)
    ENDIF

    t = DEMA[smoothing](AverageTrueRange[threshATRPeriod])
    t = t + (t*(verticalShiftPercent/100))

    RETURN upsidevol coloured(150, 200, 100) style(histogram, 1) as \"up\" , downsidevol coloured(200, 150, 100) style(histogram, 1) as \"down\", t as \"treshold\"

     

    • Nicolas • 10/13/2015 #

      Thanks Maz, I’ll have a look tomorrow.

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