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Thanks for the idea Robert. But I think the CRB is too blunt an
instrument for what's wanted here (if I understand what's wanted). It
looks to me like a separate filter should be written for each market,
but maybe there's a way of doing one filter that works in all
markets...taking the ATR of the ATR with a low lag filter...? I'm out of
my depth.
MOnte
robert.cummings@xxxxxxxxxxxxxxxx wrote:
>
> Might try the CRB Index cash or futures traded on the NYFE. Indicates the
> over-all futures market.
>
> Robert
>
> At 12:57 PM 1/16/01 -0800, Monte C. Smith wrote:
>
> > A friend writes:
> >
> > I'm trying to write code for a volatility filter which will work for a
> >portfolio of futures. For
> >example: the following is the 10 day average true range as of close
> >1/12/01: Natural gas = 0.661 or $6,610, corn = 3.69 or $184.50, crude
> >oil = 1.05
> >or $1,050, japanese yen = 0.0073 or $912.50 and ten year notes = 0.7694
> >or $769.40. The concept is to trade within a range of volatility, if the
> >volatility is too high or low, the system will not trade. The problem is
> >bringing the code to a single standard. Any help with this is greatly
> >appreciated.
> >
> >Thanks,
> >Monte
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