Stock Portfolio Organizer
The ultimate porfolio management solution.
WiseTrader Toolbox
#1 Selling Amibroker Plugin featuring:
Historical Volatility for Amibroker (AFL)
The Rules
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
1 2 3 4 5 6 | // Provided by Cesar Alvarez www.AlvarezQuantTrading.com // Historical Volatility lenPeriod = Param ( "Periods" ,100,10,1000,1); HV = 100 * StDev ( log ( C / Ref ( C ,-1)),lenPeriod) * sqrt (252); Plot (HV, "HV(" +lenPeriod+ ")" , ParamColor ( "Color" , colorRed ), ParamStyle ( "Style" ) ); |
0 comments
Leave Comment
Please login here to leave a comment.
Back