Volatility Guppy

2020년 9월 14일

Based on my previous script "Turtle N Normalized," this script plots the CM SuperGuppy on the value of N to identify changing trends in the volatility of any instrument.
Turtle rules taken from an online PDF:

"The Turtles used a concept that Richard Dennis and Bill Eckhardt called N to represent the underlying volatility of a particular market.

N is simply the 20-day exponential moving average of the True Range, which is now more commonly known as the ATR. Conceptually, N represents the average range in price movement that a particular market makes in a single day, accounting for opening gaps. N was measured in the same points as the underlying contract.

The Turtles built positions in pieces which we called Units. Units were sized so that 1 N represented 1% of the account equity. Thus, a unit for a given market or commodity can be calculated using the following formula:

Unit = 1% of Account/(N x Dollars per Point)"

To normalize the Unit formula, this script instead takes the value of (close/N). Dollars per point = 1 for stocks and crypto, but will change depending on the contract specifications for individual futures .

"Since the Turtles used the Unit as the base measure for position size, and since those units were volatility risk adjusted, the Unit was a measure of both the risk of a position, and of the entire portfolio of positions."

When the EMA's are green, volatility is decreasing.
When the EMA's are red, volatility is increasing.
When the EMA's are grey, the trend is changing.