| Sonja |
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Gold User, Member, TeleChart
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| Registered User |
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| Unsure |
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| Sunday, October 22, 2006 |
| Thursday, December 7, 2006 12:30:30 PM |
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did you find anything bruce?
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wow, if it looks the same it should work! great - thank you! i am not a programmer and simply rely on the info of ensignsoftware! as written earlier Quotetracker uses a ema to construct the volatility stop. what would the chart look like the way you constructed the volatility stop? do you have a picture?
thank you very much for your efforts to help me!
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i posted a daily chart and you can see that the volatility stop is calculated using the atr as i mentioned it in the formula. it may be though that i chose a wrong chart the longer i look at it - sorry 
here is the new one:
http://charts.dacharts.com/2006-11-24/JF-28.png
thank you bruce and all
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do you have a idea, craig? thank you
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Hi Jim,
sorry, the Correct Formula is:
1.Volatility Stop (when short) = Lowest Close (since entering the trade) + (ATR * Multiplier)
2.Volatility Stop (when long) = Highest Close (since entering the trade) - (ATR * Multiplier)
Here ATR is 9 and Multiplier 2.5
I guess it simply starts calculating both lines with the first 9 bars, then checks whether price is above the long volatility stop or below the short volatility stop. as i said, long and short are not really positions, only a name for the upper and lower line.
thanks
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seems like my answers don´t help any ideas?
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i found a example of how it looks in ensignsoftware:
the orange line is the volatility stop that flips from above to below prices
thank you all
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1.Volatility Stop (when short) = Lowest Close (since entering the trade) + (ATR * Multiplier)
2.Volatility Stop (when long) = Highest Close (since entering the trade) - (ATR * Multiplier)
once price closes above the "short volatility stop" it flips to long, and the long volatility stop is displayed as a line below the prices. when a price closes below the "long volatility stop line" the volatility stop flips and the "short volatility stop" is displayed as a line above the prices and so on.
so "you are long" when price closes above the 1. volatility stop, and "you are short" when price closes below the 2. volatility stop
so you do not need a initial entry date. as this is end of thay it can only close above or below the line, so there cannot be a intraday reversal of stops
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as to 2) as it is only close - it can only be above or below the volatility line!
but as i get it one would have to code it every day. in ensign or quotetracker you simply add the volatility stop as an indicator and it is displayed as a line above or below the prices. too bad i am a bad programmer - but thank you for your ideas
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this definition would be ok to use, too:
Volatility Stop Calculations
True Range = High - Low
(Substitute the previous bar's Close for the High, if higher than the current High.)
(Substitute the previous bar's Close for the Low, if lower than the current Low.)
Average True Range (ATR) = Exponential moving average of each bar's true range using N periods.
Volatility Stop (when short) = Lowest Close (since entering the trade) + (ATR * Multiplier)
Volatility Stop (when long) = Highest Close (since entering the trade) - (ATR * Multiplier)
thank you very much
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