Registered User Joined: 3/22/2009 Posts: 16
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Is there a reference to how TC2000 calculates the volatility stop? I would like to understand what is going on behind the scenes .
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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The Volatility Stop section of the TC2000 Online Help contains a basic description along with a link to a more detailed article on its actual calculation.
Essentially the indicator keeps track of the highest close when the volatility stop is below price or the lowest close when the volatility stop is above price. It keeps subtracting a multiple of Average True Range when the volatility stop is below price or adding a multiple of ATR when the volatility stop is above price to the highest close or lowest close of the trend so far. This value is tracked and does not retreat (even if the ATR is increasing).
If price closes on the other side of Volatility Stop indicator, it changes trends and switches sides.
-Bruce Personal Criteria Formulas TC2000 Support Articles
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Registered User Joined: 12/10/2009 Posts: 35
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Hi Bruce,
Regarding the Volatiity Stop indicator, I’ve read two separate descriptions from different posts by you, which seemed to contradict each other, so the only things I’m not quite sure of are these:
Is the true range period calculated on the maximum/minimum Close or the maximum/minimum High/Low. An earlier definition (above) said the close and a more recent definition said the high/low, respectively.
I’m hoping the True Range period is calculated like ATR and that it’s based on the maximum/minimum Close in the chosen true range period (less aggressive), since that’s what I’ve been interpreting this indicator to be based on. Would you please clarify?
Also, if the current Volatility Stop indicator is based on the highs/lows and the true range is calculated differently than ATR, would it be possible for your programmers to give us a choice of which to use on the above definitions in a future release?
Thanks for all you do Bruce,
Greg
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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True Range uses the high, low and previous close in its calculations. The Average True Range is just a moving average of True Range.
The extreme points are calculated from the highest and lowest closes since changing trends and not the highest highs or lowest lows.
-Bruce Personal Criteria Formulas TC2000 Support Articles
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Registered User Joined: 12/10/2009 Posts: 35
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Thanks Bruce
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Registered User Joined: 9/19/2006 Posts: 10
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Is there any way to make the Volatility Stop a line, not a series of dots?..Thanks!
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Registered User Joined: 1/28/2005 Posts: 6,049
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You can "add plot" a simple moving average with a period of one.
Then turn the slider for VStop off.
It will be a line but wont change color long/short.
Thanks
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Registered User Joined: 9/19/2006 Posts: 10
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Thanks!
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