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Attachments: Do you use a volatility filter?
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Do you use a volatility filter?

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  • Post #1
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  • First Post: May 10, 2007 3:14pm May 10, 2007 3:14pm
  •  iya
  • | Joined Oct 2006 | Status: always protect yourself | 129 Posts
Many Systems, especially simpler trendfollowing ones, do not trade every signal, but only during the more active times, when for example breakouts are more likely. The simplest method is to only trade during a certain time of the day.

I'd like to find or make the best indicator to determine market activity without relying on time. Please post your suggestions.

First I thought of using the tick volume data. Since it's so short term (for every candle) I applied a Moving Average to reduce the noise, and the result wasn't bad – but it was almost identical to ATR!

The next idea was, that during more active times, the prices were probably 'oscillating' more often, so we divide the tick volume of a candle by the high-low range resulting in 'tick changes for every pip actually moved'.

The result looks pretty good, imho.
Please note that the tick volume data differs between brokers.

http://img124.imageshack.us/img124/7...atilityjj3.gif

Edit: Sorry for the grammar mistake, I can't seem to edit it. No you're not a filter! ;-)
Attached File(s)
File Type: mq4 Volatility.mq4   3 KB | 2,019 downloads
nice looking indicator, iya. i use time very often as a filter - like many, i wont enter an intraday trade in the last closing hours of a session, and do look at atr from time to time, though i can usually eyeball it pretty well on a single chart, its good if you just want to have multiple charts open and glance between them to look for movement/correlation. if youre doing pure system trading i suppose this would be important to lock down though. can you say how you use this indicator? i notice the sample image shows calculations based on 48 periods of M5. personally i dont think i would use greater than 12-18 periods for that time frame (as this is just a filter right, not meant to establish trend?), but of course thats just an unsupported by data statement so dont mind me too much. :
Hi Iya,

This is in fact a filter for ranging/choppy hours. (I definitely prefer to trade during trending markets) .

Rules are simple:
To avoid entering a position during a ranging market, when noise line (grey) is above signal line (green) do not trade, and visceversa.

Its a very powerful indicator and even more if you find the right settings for each pair.

Hope it helps.
Attached File(s)
File Type: mq4 Damiani_volatmeter.mq4   3 KB | 2,394 downloads
  •  iya
  • | Joined Oct 2006 | Status: always protect yourself | 129 Posts
Quoting november15th
nice looking indicator, iya. i use time very often as a filter - like many, i wont enter an intraday trade in the last closing hours of a session, and do look at atr from time to time, though i can usually eyeball it pretty well on a single chart, its good if you just want to have multiple charts open and glance between them to look for movement/correlation. if youre doing pure system trading i suppose this would be important to lock down though. can you say how you use this indicator? i notice the sample image shows calculations based on 48 periods of M5. personally i dont think i would use greater than 12-18 periods for that time frame (as this is just a filter right, not meant to establish trend?), but of course thats just an unsupported by data statement so dont mind me too much. :
Thanks for your reply.
The idea was to objectively 'see' the market activity during the different forex sessions in an indicator. 48*5 min is 4H ;-) That's to provide for enough smoothing, obiously the lag will be 2H. But you must not necessarily use it for live trading, you could also use it to find patterns that a pair follows everyday: Usually peaks for Tokio, London and New York. Like the Sedona system tries to exploit.
It's not a system yet, that's why it's in Forex Discussion ;-)
Maybe another idea is to look for a divergence in the volatility indicator and ATR just before a breakout.
  •  iya
  • | Joined Oct 2006 | Status: always protect yourself | 129 Posts
Quoting pabloski
Hi Iya,

This is in fact a filter for ranging/choppy hours. (I definitely prefer to trade during trending markets) .

Rules are simple:
To avoid entering a position during a ranging market, when noise line (grey) is above signal line (green) do not trade, and visceversa.

Its a very powerful indicator and even more if you find the right settings for each pair.

Hope it helps.
I've seen this indicator before. It's definately worth a look. I think it's from the guy, making the second place in last years automated trading championship.
Thanks for sharing!
Quoting pabloski
Hi Iya,

This is in fact a filter for ranging/choppy hours. (I definitely prefer to trade during trending markets) .

Rules are simple:
To avoid entering a position during a ranging market, when noise line (grey) is above signal line (green) do not trade, and visceversa.

Its a very powerful indicator and even more if you find the right settings for each pair.

Hope it helps.
Pabloski, any guidelines on how to use the red line that appears in between the grey and green lines?
Hi pabloske..
so whats your suggestion..? is it good to do scalping...low Time frames...?


Quoting pabloski
Hi Iya,

This is in fact a filter for ranging/choppy hours. (I definitely prefer to trade during trending markets) .

Rules are simple:
To avoid entering a position during a ranging market, when noise line (grey) is above signal line (green) do not trade, and visceversa.

Its a very powerful indicator and even more if you find the right settings for each pair.

Hope it helps.
There are a lot of filters. You can find one that suits your style of trading here : http://forex-indicators.net/
  • Post #9
  • Quote
  • Last Post: Jan 25, 2012 1:22pm Jan 25, 2012 1:22pm
I use the liquidity info on FF frontpage. It collects liquidity info from several brokers and tells pretty well when the money is in the market (and volatility). Would be much nicer if it would be on the charts of course. Also trading hours from Frankfurt open to London close.
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