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Volatility Ratio for Amibroker (AFL)

Rating:
2 / 5 (Votes 2)
Tags:
amibroker
The volatility ratio is a technical measure used to identify price patterns and breakouts.

Indicator / Formula

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// xac dinh day
WVF = (HHV (Close,22) - Low)/(HHV(Close,22))*100;
Buy=WVF>16;
PlotShapes( shapeSmallUpTriangle * Buy,  colorAqua );


_SECTION_BEGIN("Volatility Ratio");

n=Param("Periods",13,1,300,1);
VRT=Param("VRthreshold",0.55,0.5,1,0.1);
Dday =Param("Decision Day Based on Prev day returns",4,3,5,1);
zero=10^-10;

r1=H-L;
r2=abs(H-Ref(C,-1));
r3=abs(Ref(C,-1)-L);


TrueRange=Max(Max(r1,r2),r3);

TrueHighPds=Max(HHV(H,n),Ref(C,-n));
TrueLowPds=Min(LLV(L,n),Ref(C,-n));
TrueRangePds=TrueHighPds-TrueLowPds;

VolatilityRatio=TrueRange/Max(TrueRangePds,zero);

SetPositionSize(1,spsShares);

decisionSell=HHV(C,5)-C;
decisionBuy=C-LLV(C,5);

Buy =decisionBuy>0 AND Cross(VolatilityRatio,VRT);
PlotShapes( shapeSmallUpTriangle * Buy,  colorGreen );

Sell =0;
Short=decisionSell>0 AND Cross(VolatilityRatio,VRT);
PlotShapes( shapeSmallDownTriangle * Short, colorRed  );

Cover=0;

Plot(VolatilityRatio,"Volatility Ratio - Schwager",colorRed);
Plot(VRT,"VRT - Schwager",colorWhite);

AddColumn(VolatilityRatio,"VolatilityRatio");

_SECTION_END();

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