StockFetcher Forums · Filter Exchange · Dual Volatility Gauge: ATR + Bollinger Band<< >>Post Follow-up
vict0rchan
5 posts
msg #150909
Ignore vict0rchan
modified
2/25/2020 12:54:31 AM

*** Dual Volatility Indicator ***

This indicator make use of 2 volatility indicators:

1. Average True Range (ATR): measures intraday volatility
2. Bollinger Band (BB): measures day-to-day volatility with respect to the mean (simple moving average)

When both of these readings are low, it is usually a good time enter the market, especially for buying options.

Fetcher[Chart-time is 2 years
Chart-type is OHLC
Market is ETF
Market is optionable

set{STD_Vol, CMA(IndPosition(Standard Deviation(20) divided by MA(20),40), 3)} // The STD Oscillator
set{ATR_Vol, CMA(IndPosition(ATR(20) divided by MA(20),40), 3)} // The ATR Oscillator
STD_Vol is below 0.3
Draw STD_Vol line at 0.75
Draw ATR_Vol on plot STD_Vol
ATR_Vol is below 0.3
Draw STD_Vol line at 0.25

Add column DTD_Vol
Sort by column 8
]



Or the two Oscillators could be combined into one by averaging them:

Fetcher[Chart-time is 2 years
Chart-type is OHLC
Market is ETF
Market is optionable

set{ATRVol, IndPosition(ATR(20) divided by MA(20),40)}
set{STDVol, IndPosition(Standard Deviation(20) divided by MA(20),40)}
set{SumVol, ATRVol + STDVol}
set{VolOsc, CMA(SumVol multiplied by 50,3)}
VolOsc is below 30
Draw VolOsc line at 70
Draw VolOsc line at 30

Add column VolOsc
Sort column 5 ascending
]



*** Dual OB/OS Indicator ***

Likewise, one could add a dual OB/OS Indicator which combines the RSI and W%R:

1. Relative Strength Index (RSI): measures accumulative day-to-day bull/bear momentum.
2. William %R (W%R): relative position to a period's range.

Fetcher[Chart-time is 2 years
Chart-type is OHLC
Market is ETF
Market is optionable

set{ATRVol, IndPosition(ATR(20) divided by MA(20),40)}
set{STDVol, IndPosition(Standard Deviation(20) divided by MA(20),40)}
set{SumVol, ATRVol + STDVol}
set{VolOsc, CMA(SumVol multiplied by 50,3)}
VolOsc is below 30
Draw VolOsc line at 70
Draw VolOsc line at 30

set{OscSum, RSI(20) plus Williams %R(20)}
set{TheOscillator, CMA(OscSum plus 50,4)}

TheOscillator is below 30 /*Below 30: Oversold; Above 70: Overbought */
Draw TheOscillator line at 70
Draw TheOscillator line at 30

Add column VolOsc
Sort column 5 ascending
]



Cheers,
Victor

sandjco
648 posts
msg #150918
Ignore sandjco
2/25/2020 2:29:06 PM

Thanks for sharing Vic!

I personally am still trying to understand ATR. Higher ATR = bigger moves by the looks of it.

StockFetcher Forums · Filter Exchange · Dual Volatility Gauge: ATR + Bollinger Band<< >>Post Follow-up

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