Combine Trendiness and Volatility

Closest thing to the holly grail I have ever heard..... congrats !!


Quote from optioncoach:

Actually my system is more complicated than that and is automated. I have a coin simulator flip 2 coins at once and display the outcomes within seconds.
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Quote from agpilot:

Hello BENG

TC2005 Worden Bros software has a volatility sort function. It sez that it determines hi-lo range for each of the last 13 weeks and then averages those 13 weeks. It then sorts all stocks in your list. You would have to generate a personal sort formula to select both volatility AND percent gain in the watchlist you are looking at. I take this volatility into account on most sorting because I don't care for a wild ride even tho the end of month P&L may be the same. Most of the time I prefer to do a visual sort of those stocks I make my buys from. It's quite easy to spot those stocks with a wild daily swings if you have a preselected style chart set up just for that volatility sort. The vertical scale should have a common percent change when doing a visual. hope this helps.
agpilot
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Thanks agpilot, that would be a quick fix, but not exactly what I want to measure. It would be good for stock picking, but I want to rank different markets based on one measurement.

Much appreciate for your input.
 
Quote from FaderTrader:

Trending versus range bound days are impossible to predict, but easy to anticipate. Simple volatility mean reversion tends to hold over all periods.

The way I do it is compare today's pivot range width (derived from yesterday's data) as a percentage of the 30-day median pivot width. When the pivot range widens to excessive levels, it means that we just had a trending day and to anticipate some consolidation. Vice versa holds true.

The gray area using this technique is very wide, so the only real signals are at the extremes. It's very often the case that when the pivot range narrows to less than 40% of the 30-median values, the following day contains sizable moves if not a new high value.

Hence, I am slower to take profit when anicipating a trending day because 1) I can simply make more money and 2) the fact that I am anticipating a trending day means I'll get fewer entry points, so I hold on to those that I get.
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Thanks FaderTrader, I've tried this, and not be able to make money by creating a mechanical strategy for it. However, I personally can trade this method and make money.

Though not what I'm looking for, but thanks for the input.
 
Any other input?

I guess for those who know, don't want to post their secret. I can understand.

Any hint from the pro? TIA!
 
There is no such thing as secrets in trading. There are just some things that some have found that matches their abilities. Drives me crazy when some think there could be such an animal as a secret in a game like this that has been dissected, sliced and diced for over a hundred years. All the computer power combined will not help either, sure it is a valuable tool.
The "MIND" of each and every individual is where the answers lie, once traders realize that, then and only then can they begin to win. Many will never get to that point simply because they think the game is difficult and complicated. The "MIND" is NOT simple but indeed it can make things complicated if you let it.
 
great post...

Quote from Batterup:

There is no such thing as secrets in trading. There are just some things that some have found that matches their abilities. Drives me crazy when some think there could be such an animal as a secret in a game like this that has been dissected, sliced and diced for over a hundred years. All the computer power combined will not help either, sure it is a valuable tool.
The "MIND" of each and every individual is where the answers lie, once traders realize that, then and only then can they begin to win. Many will never get to that point simply because they think the game is difficult and complicated. The "MIND" is NOT simple but indeed it can make things complicated if you let it.
More...
 
Quote from Batterup:

There is no such thing as secrets in trading. There are just some things that some have found that matches their abilities. Drives me crazy when some think there could be such an animal as a secret in a game like this that has been dissected, sliced and diced for over a hundred years. All the computer power combined will not help either, sure it is a valuable tool.
The "MIND" of each and every individual is where the answers lie, once traders realize that, then and only then can they begin to win. Many will never get to that point simply because they think the game is difficult and complicated. The "MIND" is NOT simple but indeed it can make things complicated if you let it.
More...

Not sure how your post will solve my question. I'm profitable doing discretionary trading, but I'm now searching for some hints on how to rank different markets based on the number of days in a trend and the volatility within that trend.

I currently do not know any method to quantify such thing in one number. I'm sure I'm not the only one who had tried to solve such a problem. My human mind can notice the difference, but I want to quantify it.

If you know how to approach this issue, please feel free to post your input here.

If you don't believe in building trading models, then I can understand your frustration. Using human mind is the easy way out, afterall, no programming effort is needed to understand how the brain quantifies the market.

Assume someone had accomplished what I mentioned, I considered that a "secret", not a secret to make money, but a secret method to quantify trendiness and volatility within that trend.

Please let me know if my original question is not clear to you. Thanks.
 
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