Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
Hey Guys - good discussion all.
However, I'd like to know what is everyone using for short-termvolatility in the E-Minis...say a 1000 tick chart or 5 minute chart ?
Right now I am using Highest High minus Lowest Low for 10 bars/periods.
I'm not really happy with that...and wonder if the historical volatility calculation is better ?
Or is there something else I should be looking at ?
I need this measure to basically set stop losses....dynamically instead of fixed.
Once again, you misunderstood. I am talking about INTRADAY bars...100 tick, 6 tick range, etc.
ATR has no relevance for intraday bars as the close of last bar and the open of the next bar are the same.....99.9% of the time.
re: "realised vol %" - Do you have a formula for that ?
On my platform I have built in: Volatility, VolatilityClassic, VolatilityExVal, VolatilityStdDev, VolatilityStocks.
Volatility as measured by the VIX and its derivatives don't change much intraday, but they can have significant long-term trend moves or large impulse moves across multiple days, weeks, and months. For example, the swift collapse of the VIX after the election was pretty well forecasted by the VIX futures term structure, so that was a pretty great trade for me. I did the same thing with Brexit.
I wouldn't bother trying to day-trade VIX futures.
Why can't you just use range of the bars as volatility? So calculate range of each bar, then stick a moving average on it, and you'll get a volatility measure. Bigger range =larger volatility.
Or you calculate close - open as the range. It would highlight volatility compression.
Thanks for that Jack, but I wanted something more sophisticated that also reflects price action. Right now, Highest High minus Lowest Low is so mis-leading....as that indicator goes up when the market rallies straight up. I need to catch the number of zig-zags or back 'n forth price action. To me, that's true volatility.
Perhaps an ATR based Renko charts cold be a happy medium?
The ATR will give you the volatility component and the Renko chart will give you the zig zag price action element.
The issue you may have is that when ATR changes and you re-configure the renko bar size, you may loose any historic context as all bars get re-drawn to the current bar size.
As you can can see, you will have at least two judgement calls to make:
1) What period ATR to use.
2) What % change you will deem significant to re-draw the Renko bars.