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ATR Spikes
Volatility Spike Indicator (ATR based)
I read some of Adam Grimes' work and found he uses a tool called sigma spikes, his concept is to mark significance to daily bars that have returns over x standard deviations of a 20 period average of returns.
I have adapted this idea for intra day trading. I've used an ATR and marked significance to any bar with a range greater than 4 standard deviations of the ATR, this results in attention being drawn to bars with strong momentum behind them and often results in strong follow through.
Additionally, I have included a MA crossover (fast/slow) filter to the indicator, this removes any signals that are counter- short term trend/momentum.
This is a powerful tool for momentum traders as it clearly shows points when the market has significant volatility.
I read some of Adam Grimes' work and found he uses a tool called sigma spikes, his concept is to mark significance to daily bars that have returns over x standard deviations of a 20 period average of returns.
I have adapted this idea for intra day trading. I've used an ATR and marked significance to any bar with a range greater than 4 standard deviations of the ATR, this results in attention being drawn to bars with strong momentum behind them and often results in strong follow through.
Additionally, I have included a MA crossover (fast/slow) filter to the indicator, this removes any signals that are counter- short term trend/momentum.
This is a powerful tool for momentum traders as it clearly shows points when the market has significant volatility.
نص برمجي محمي
تم نشر هذا النص البرمجي كمصدر مغلق. ومع ذلك، يمكنك استخدامه بحرية ودون أي قيود - تعرف على المزيد هنا.
إخلاء المسؤولية
لا يُقصد بالمعلومات والمنشورات أن تكون، أو تشكل، أي نصيحة مالية أو استثمارية أو تجارية أو أنواع أخرى من النصائح أو التوصيات المقدمة أو المعتمدة من TradingView. اقرأ المزيد في شروط الاستخدام.
نص برمجي محمي
تم نشر هذا النص البرمجي كمصدر مغلق. ومع ذلك، يمكنك استخدامه بحرية ودون أي قيود - تعرف على المزيد هنا.
إخلاء المسؤولية
لا يُقصد بالمعلومات والمنشورات أن تكون، أو تشكل، أي نصيحة مالية أو استثمارية أو تجارية أو أنواع أخرى من النصائح أو التوصيات المقدمة أو المعتمدة من TradingView. اقرأ المزيد في شروط الاستخدام.