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Direct MessagesDate/Time: Tue, 23 Apr 2024 12:56:09 +0000
[User Discussion] - An interesting and open question for all traders in the Board
View Count: 1088
| [2019-10-15 16:28:20] |
| User979626 - Posts: 5 |
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During the trading day volatility changes once it is low and once it is high How can a change in volatility be measured as it occurs within the trading day? How to know, for example, a certain number or percentage of volatility is currently high or vice versa is currently low ? |
| [2019-10-15 16:36:25] |
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This is something that we have been wanting to develop, we will have a look at this again. It is one of our longer-term tasks.
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| [2019-10-15 19:19:38] |
| User979626 - Posts: 5 |
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There is this development that I found and uploaded as a picture to the board it measures volatility by ATR Curve High risk is high volatility Medium risk is medium volatility Low risk is low volatility Maybe it will help |
VT.jpg| [2019-10-16 19:26:34] |
| User972768 - Posts: 166 |
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I don't think there is a clean way of measuring intraday volatility. It depends on what you want to measure it against: - as a constant flow. Let's say we measure volatility based on 1 min chart comparing current minute of the RTH session volatility against previous ones - as a volatility of current interval against same interval for number of days (let's say 9:30-9:31 period against same periods in last 20 days) Based on the above we have at least 2 major ways. Then 1st one would split into: - volatility within just current session - volatility of current interval against similar in size intervals on "uninterrupted" data set covering multiple RTH sessions From above, it is easy to say that products like ES (indexes in general) will have higher volatility during 1st hour of cash session and around last 30 minutes of the cash session. This way intraday volatility will be kind of predictable with some spikes during news events like FOMC minutes. All in all, mathematical volatility will be a bit useless for intraday. On a daily scale it is quite useful, though. Here is example how to calculate annualized volatility: https://www.fool.com/knowledge-center/how-to-calculate-annualized-volatility.aspx?Cid=8XddlB IMHO something simple like ATR is good enough to measure current intraday volatility. Just use small parameter value like 4. This way on 5-min chart ATR(4) will measure running volatility based on 20-min rolling window |
| [2020-05-14 12:45:56] |
| User462086 - Posts: 188 |
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fwiw, just found an old CQG video while cleaning up my hdd that uses the following for the "current risk in the market": max(ATR(3), ATR(10)) |
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