Time Volatility Calculator

This is not ATR. It is more sophisticated....

I wanted to find out the average volatility (in pips) for certain times of day. People claim certain times are more volatile than others (session openings, etc)

The EA lets you backtest any pair, and find the average volatility FOR CERTAIN SEGMENTS OF EACH DAY.

So if I want to know what the average volatility is for the EUR/USD between 4AM and 8AM, I can plug 4 and 8 as "start" and "end" values, and the EA will calculate it for me.

You need to set visual mode to true, and backtest with H1 timeframe.

Could be a useful tool in developing EAs. Cheers.


PS) Decimals is set to 4 for EUR/USD. Change it to 2 for GBP/JPY, USD/JPY, etc...

The point of this EA is to tell me answers to questions like:

What was the average volatility (in pips) between 12AM and 3AM for EURUSD for the month of June, 2007?

You plug in 0 and 3 for "start" and "end," and then run the backtest (w/ visual mode on) from 06/01/07 to 06/30/07.

This can help you determine if session opens really make any difference, or if they are just a myth. It can also help you find the quietest and most active times of day for any set of consecutive days.

Would you be kind enough to post a screen shot with this indicator alongside ATR for those of us not fortunate enough to have MT4?

It isn't an indicator (although it could be made into one.) At this point in time, it displays the volatility in the upper left corner of the chart.

Below is the average volatility in 2007 for the EURUSD between 12AM and 12PM.

Hi tdion,

A suggestion or two:

#1 This snippet:

extern int decimals = 4;

Can be replaced with 'Digits'. So you would remove:

extern int decimals = 4;

and change:

multiplier = MathPow(multiplier,decimals);

to:

multiplier = MathPow(multiplier,Digits);

#2 This snippet:

total = total + MathAbs(first - Bid);
population = population + 1;

can be condensed to:

total += MathAbs(first - Bid);
population++;

Does exactly the same thing, just a bit less typing when coding.

#3 lastly the first 'if' decision can be condensed a bit by using '!' instead of 'false'...?

Although it has become obvious that for every coder there is personal style. Its incredible how everyone uses the same language (mq4) in so many different ways to ultimately reach the same end...

Ragards,
lucidlamp

ps: This visual mode is great, I never knew about it.

I can only comment on my own experience.

I am in the UK time zone. Most volatile time is from 12am GMT - 12 pm GMT (Noon) during Asia market then London market. The markets have moved 90% of the pips they are going to move for the day by 12pm mid day. After that it slows to a crawl during the New York market up until 5pm GMT when London closes (The exception being a major news release). Between 5pm GMT and 10PM it really slows down with chart tic updates occurring as slow as every 1 minute 30 seconds (varies). During the busy markets it can be as fast as less than 3 seconds per tick. And finally from 10pm GMT - 11 PM GMT its basically dead until Australia wakes up at 11.

Feel free to comment if you have found things different but this has been my experience since June of this year.

Could you make this an indicator, I think it would be very usefull
thank you

I have no plans to make an indicator. This is really to test pairs for volatility during session openings (IE You always hear the US open and London open are the largest movers)

So you can now check this yourself, and find out if these claims are really true, or just fabrications.


EDIT) In fact, it wouldn't be hard to check (filter) certain days of the week too.... and use that in conjunction with hours, or just ignore hours and check entire days.

if(TimeDay(TimeCurrent())==0)||(TimeDay(TimeCurrent())==1)) would be the filter to check only Sunday and Monday.