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Does this make sense? Dynamic std dev based on ATR


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LittleFinger's Avatar
 LittleFinger 
Denver Colorado/USA
 
Experience: Intermediate
Platform: SierraChart
Broker: AMP
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For a strategy of mine I have found an edge by using bollinger bands with a dynamic standard deviation. The standard deviation used in the BB calculation is dynamic by way of being a multiple of ATR (normalized). So, the std dev for every bollinger band calculation is going to be unique if the price has changed at all. I was experimenting with this and it improved my already optimized results (walk forward).

Since standard deviation is already a type of volatility indicator, is tying it to ATR overkill? Maybe it gives you some blend of the 2 methods that can measure volatility a little differently?


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 Carpet 
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1) Does it lose money?
2) Does it make money?

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Last Updated on April 7, 2019


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