Stock Portfolio Organizer
The ultimate porfolio management solution.
#1 Selling Amibroker Plugin featuring:
Historical Volatility for Amibroker (AFL)
Summary of rules as in the article.Keep track of the daily returns Calculate the 20-day historical volatility of your returns When volatility exceeds 30% and the return over the last three days is negative, exit all positions Restart the strategy when volatility falls below 30% and the return over the last three days is positive.
Each strategy will have a different volatility threshold which one must test for. He also suggests possible using different volatility values in steps 3 & 4 to reduce whipsaws.
Indicator / Formula
Please login here to leave a comment.Back