Adaptive Price Zone

2022년 6월 30일

The Adaptive Price Zone was developed by Lee Leib­farth in 2006, and it attempts to create a band for mean-reversal strategies. It works by taking the double-smoothed average of the volatility from 5 days and adding/subtracting it from the average price of the day (hl2).

If you are planning to use it, remember that it changes throughout the day, so you might want to use an offset. You can also choose to use the true range for the volatility instead of the high and low difference.