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Yes I noticed that and knew someone was going to point it out ... he
says he wants the system to trade when the volatility is within a range,
but stay out when the volatility is TOO HIGH or TOO LOW...without
defining how high is high or how low is low. By 'bringing the code to a
single standard) I think he means using the same filter for all markets.
I will try to get some clarification.
Thanks for the suggestion; he may be able to adapt it to his purpose.
Regards,
Monte
Bob Fulks wrote:
>
> You do not say what you consider "normal". The following will give a
> number centered around 100 when the average true range is at it's
> 100-day average.
>
> Ratio = 100 * AvgTrueRange(10) / AvgTrueRange(100);
>
> At 12:57 PM -0800 1/16/01, Monte C. Smith wrote:
>
> >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.
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