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Realtraders:
I would like to know if anyone has a method for determining or
evaluating the choppiness of the market in order to determine a
choppiness index. This will be to switch the trading system from say a
volatility breakout to a trend following system when a strong trend
comes underway. I would like the system to be predominantly a
volatility breakout of say some fraction of the 3 day average true range
from the prior days high and low. This system would exit either on the
next days open or within a week at a specified target. What I have seen
with these systems though is they do not do anything to catch the larger
moves because you are exiting on strength. My idea is to add a
choppiness index so that if choppiness is low, to switch to a longer
term channel breakout.
I have read in the secrets of the master's book that Randy Stuckey uses
such an index to switchover catscan.
Any Help from System Designers greatly appreciated.
Paul Cote
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