Monthly Volatility Rating

• 09/03/2019 at 11:45 AM #106352
  Vonasi

  As part of my research into taking trading holidays I decided to write an indicator to rank months by their volatility. I decided that true range + body size would be an interesting basis for the volatility.

  The indicator checks every bar in every month and then ranks each month with a score from 0 to 100 with 100 being the most volatile month and 0 the least volatile.

  In the attached image of the DAX daily we can see that October is the most volatile and April the least volatile. January, March, August and September are above the average volatility and all the other months are below it. How far above and below in relation to the other months can be easily seen thanks to the 0 to 100 rating.

  The results could be used in other ways such as possibly increasing or decreasing take profit and stop loss sizes each month based on the months volatility rating.

  I post the indicator here just in case it is of any use to anyone.

  //Monthly volatility rating //Based on true range and body size //By Vonasi //20190903 if barindex > 1 then if openmonth = 1 then jan = jan + 1 jantr = jantr + tr janbody = janbody + (abs(close - open)) endif if openmonth = 2 then feb = feb + 1 febtr = febtr + tr febbody = febbody + (abs(close - open)) endif if openmonth = 3 then mar = mar + 1 martr = martr + tr marbody = marbody + (abs(close - open)) endif if openmonth = 4 then apr = apr + 1 aprtr = aprtr + tr aprbody = aprbody + (abs(close - open)) endif if openmonth = 5 then may = may + 1 maytr = maytr + tr maybody = maybody + (abs(close - open)) endif if openmonth = 6 then jun = jun + 1 juntr = juntr + tr junbody = junbody + (abs(close - open)) endif if openmonth = 7 then jul = jul + 1 jultr = jultr + tr julbody = julbody + (abs(close - open)) endif if openmonth = 8 then aug = aug + 1 augtr = augtr + tr augbody = augbody + (abs(close - open)) endif if openmonth = 9 then sep = sep + 1 septr = septr + tr sepbody = sepbody + (abs(close - open)) endif if openmonth = 10 then oct = oct + 1 octtr = octtr + tr octbody = octbody + (abs(close - open)) endif if openmonth = 11 then nov = nov + 1 novtr = novtr + tr novbody = novbody + (abs(close - open)) endif if openmonth = 12 then dec = dec + 1 dectr = dectr + tr decbody = decbody + (abs(close - open)) endif count = count + 1 all = all + tr allave = all/count allb = allb + (abs(close - open)) allaveb = allb/count avjan = jantr/jan avfeb = febtr/feb avmar = martr/mar avapr = aprtr/apr avmay = maytr/may avjun = juntr/jun avjul = jultr/jul avaug = augtr/aug avsep = septr/sep avoct = octtr/oct avnov = novtr/nov avdec = dectr/dec avjanb = janbody/jan avfebb = febbody/feb avmarb = marbody/mar avaprb = aprbody/apr avmayb = maybody/may avjunb = junbody/jun avjulb = julbody/jul avaugb = augbody/aug avsepb = sepbody/sep avoctb = octbody/oct avnovb = novbody/nov avdecb = decbody/dec endif janrate = ((avjan + avjanb)/count) febrate = ((avfeb + avfebb)/count) marrate = ((avmar + avmarb)/count) aprrate = ((avapr + avaprb)/count) mayrate = ((avmay + avmayb)/count) junrate = ((avjun + avjunb)/count) julrate = ((avjul + avjulb)/count) augrate = ((avaug + avaugb)/count) seprate = ((avsep + avsepb)/count) octrate = ((avoct + avoctb)/count) novrate = ((avnov + avnovb)/count) decrate = ((avdec + avdecb)/count) allrate = ((allave + allaveb)/count) upper = max(decrate,max(novrate,max(octrate,max(seprate,max(augrate,max(julrate,max(junrate,max(mayrate,max(aprrate,max(marrate,max(janrate,febrate))))))))))) lower = min(decrate,min(novrate,min(octrate,min(seprate,min(augrate,min(julrate,min(junrate,min(mayrate,min(aprrate,min(marrate,min(janrate,febrate))))))))))) janratep = ((janrate - lower)/(upper-lower))*100 febratep = ((febrate - lower)/(upper-lower))*100 marratep = ((marrate - lower)/(upper-lower))*100 aprratep = ((aprrate - lower)/(upper-lower))*100 mayratep = ((mayrate - lower)/(upper-lower))*100 junratep = ((junrate - lower)/(upper-lower))*100 julratep = ((julrate - lower)/(upper-lower))*100 augratep = ((augrate - lower)/(upper-lower))*100 sepratep = ((seprate - lower)/(upper-lower))*100 octratep = ((octrate - lower)/(upper-lower))*100 novratep = ((novrate - lower)/(upper-lower))*100 decratep = ((decrate - lower)/(upper-lower))*100 allratep = ((allrate - lower)/(upper-lower))*100 return janratep as "jan rating", febratep as "feb rating", marratep as "mar rating", aprratep as "apr rating", mayratep as "may rating", junratep as "jun rating", julratep as "jul rating", augratep as "aug rating", sepratep as "sep rating", octratep as "oct rating", novratep as "nov rating", decratep as "dec rating", allratep as "all rate"//avjanb as "jan b", avfebb as "feb b", avmarb as "mar b", avaprb as "apr b", avmayb as "may b", avjunb as "jun b", avjulb as "jul b", avaugb as "aug b", avsepb as "sep b", avoctb as "oct b", avnovb as "nov b", avdecb as "dec b", allaveb coloured(0,0,255) as "all b", avjan as "jan", avfeb as "feb", avmar as "mar", avapr as "apr", avmay as "may", avjun as "jun", avjul as "jul", avaug as "aug", avsep as "sep", avoct as "oct", avnov as "nov", avdec as "dec", allave coloured(0,0,255) as "all",

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  //Monthly volatility rating //Based on true range and body size //By Vonasi //20190903   if barindex > 1 then if openmonth = 1 then jan = jan + 1 jantr = jantr + tr janbody = janbody + (abs(close - open)) endif   if openmonth = 2 then feb = feb + 1 febtr = febtr + tr febbody = febbody + (abs(close - open)) endif   if openmonth = 3 then mar = mar + 1 martr = martr + tr marbody = marbody + (abs(close - open)) endif   if openmonth = 4 then apr = apr + 1 aprtr = aprtr + tr aprbody = aprbody + (abs(close - open)) endif   if openmonth = 5 then may = may + 1 maytr = maytr + tr maybody = maybody + (abs(close - open)) endif   if openmonth = 6 then jun = jun + 1 juntr = juntr + tr junbody = junbody + (abs(close - open)) endif   if openmonth = 7 then jul = jul + 1 jultr = jultr + tr julbody = julbody + (abs(close - open)) endif   if openmonth = 8 then aug = aug + 1 augtr = augtr + tr augbody = augbody + (abs(close - open)) endif   if openmonth = 9 then sep = sep + 1 septr = septr + tr sepbody = sepbody + (abs(close - open)) endif   if openmonth = 10 then oct = oct + 1 octtr = octtr + tr octbody = octbody + (abs(close - open)) endif   if openmonth = 11 then nov = nov + 1 novtr = novtr + tr novbody = novbody + (abs(close - open)) endif   if openmonth = 12 then dec = dec + 1 dectr = dectr + tr decbody = decbody + (abs(close - open)) endif   count = count + 1 all = all + tr allave = all/count allb = allb + (abs(close - open)) allaveb = allb/count   avjan = jantr/jan avfeb = febtr/feb avmar = martr/mar avapr = aprtr/apr avmay = maytr/may avjun = juntr/jun avjul = jultr/jul avaug = augtr/aug avsep = septr/sep avoct = octtr/oct avnov = novtr/nov avdec = dectr/dec   avjanb = janbody/jan avfebb = febbody/feb avmarb = marbody/mar avaprb = aprbody/apr avmayb = maybody/may avjunb = junbody/jun avjulb = julbody/jul avaugb = augbody/aug avsepb = sepbody/sep avoctb = octbody/oct avnovb = novbody/nov avdecb = decbody/dec endif   janrate = ((avjan + avjanb)/count) febrate = ((avfeb + avfebb)/count) marrate = ((avmar + avmarb)/count) aprrate = ((avapr + avaprb)/count) mayrate = ((avmay + avmayb)/count) junrate = ((avjun + avjunb)/count) julrate = ((avjul + avjulb)/count) augrate = ((avaug + avaugb)/count) seprate = ((avsep + avsepb)/count) octrate = ((avoct + avoctb)/count) novrate = ((avnov + avnovb)/count) decrate = ((avdec + avdecb)/count)   allrate = ((allave + allaveb)/count)   upper = max(decrate,max(novrate,max(octrate,max(seprate,max(augrate,max(julrate,max(junrate,max(mayrate,max(aprrate,max(marrate,max(janrate,febrate)))))))))))   lower = min(decrate,min(novrate,min(octrate,min(seprate,min(augrate,min(julrate,min(junrate,min(mayrate,min(aprrate,min(marrate,min(janrate,febrate)))))))))))   janratep = ((janrate - lower)/(upper-lower))*100 febratep = ((febrate - lower)/(upper-lower))*100 marratep = ((marrate - lower)/(upper-lower))*100 aprratep = ((aprrate - lower)/(upper-lower))*100 mayratep = ((mayrate - lower)/(upper-lower))*100 junratep = ((junrate - lower)/(upper-lower))*100 julratep = ((julrate - lower)/(upper-lower))*100 augratep = ((augrate - lower)/(upper-lower))*100 sepratep = ((seprate - lower)/(upper-lower))*100 octratep = ((octrate - lower)/(upper-lower))*100 novratep = ((novrate - lower)/(upper-lower))*100 decratep = ((decrate - lower)/(upper-lower))*100 allratep = ((allrate - lower)/(upper-lower))*100   return janratep as "jan rating", febratep as "feb rating", marratep as "mar rating", aprratep as "apr rating", mayratep as "may rating", junratep as "jun rating", julratep as "jul rating", augratep as "aug rating", sepratep as "sep rating", octratep as "oct rating", novratep as "nov rating", decratep as "dec rating", allratep as "all rate"//avjanb as "jan b", avfebb as "feb b", avmarb as "mar b", avaprb as "apr b", avmayb as "may b", avjunb as "jun b", avjulb as "jul b", avaugb as "aug b", avsepb as "sep b", avoctb as "oct b", avnovb as "nov b", avdecb as "dec b", allaveb coloured(0,0,255) as "all b", avjan as "jan", avfeb as "feb", avmar as "mar", avapr as "apr", avmay as "may", avjun as "jun", avjul as "jul", avaug as "aug", avsep as "sep", avoct as "oct", avnov as "nov", avdec as "dec", allave coloured(0,0,255) as "all",

   

  

  Vonasi

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