ka66: Volatility Momentum

2018년 4월 2일

This is a 'monitoring' indicator to see if an instrument is viable enough to be traded, by virtue of volatility (or lack of volatility in context may lead to a break out), or may become so. It shows the following information:

Price Range (high - low) averaged across a set of bars: Useful gauging potential trading profits. This was its initial goal, to not measure bars manually!

ATR: As a comparison point for the price range above. Divergence between true range (TR) and plain price range might signal volatility changes occurring in the instrument.

Signal volatility line: a moving average of the larger of the average price range and ATR. This takes inspiration from other indicators like MACD and Stochastic, and is a way of comparing change in recent volatility --- this achieves the momentum part. The larger was chosen to keep things simple, and not have a signal line per range!

avgRange = movingAvg(high - low, avgPeriod)
atr = movingAvg(trueRange, avgPeriod)
signal = movingAvg(max(avgRange, atr), avgPeriod)

Configurable periods and averaging mechanism.