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Juan,
Somehow I didn't think this was going to be easy! :-)
Okay, first lets decide on the indicator/s and what will be adaptive.
There are literally dozens of volatility indicators. A good one
though is Chaikin's Volatility indicator. The formula call is:
Vol(MA Periods, ROC Periods)
This would mean that the parameters that can change(in this case
become adaptive) are the MA Periods and the ROC periods or they can
be set and used to trigger another indicator.
You've mentioned a stoch. Do you want to use a stoch indicator? Do
you wish to use the Stoch Momentum Index or the Stoch Oscillator? You
could choose to make the smoothing periods of the Stoch adaptive if
you want based on the levels of the volatility.
If we're going with the if statements we'll need to know the
conditions that will be used.
P
--- In equismetastock@xxxxxxxxxxxxxxx, "emarco" <emarco@xxxx> wrote:
> Preston,
>
> Currently I am developing a trading system for tnotes
in 60m. The problem i noticed with my indicators is that they should
adapt to different levels of intraday and 60m volatility (in terms of
close data). So my idea is to construct an adaptive indicator as you
mentioned below.
> For example:
> each periods caculates Voli 20 MA
>
> mavoli:=mov(Voli,20,S)
>
> and then:
>
> if(stoch(20*mavoli,4) >20, 1,0)
>
>
> Is it clear?
> Thanks
>
>
> Juan
>
>
>
> ----- Original Message -----
> From: pumrysh
> To: equismetastock@xxxxxxxxxxxxxxx
> Sent: Wednesday, January 29, 2003 11:51 PM
> Subject: Re: [EquisMetaStock Group] Adjusting parameters with
volatility
>
>
> Juan,
>
> Yes it can be done to a certain degree. What you are asking is to
> make an indicator "adaptive". While it is difficult it can be
done by
> using if statements for one solution. Another solution is to use
an
> adaptive moving average. This reguires a "DLL" of the moving
average
> indicator. These are not readily available.
>
> Be a little more specific and maybe we can build you a custom
> indicator on this board.
>
> Preston
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