Futures vs FX volatility - must haz movement

M

Maverick1

must.... haz…. moooovement…. for method to work (intraday)

I think Jim Simons once said as much, that he needed a lot of volatility for his edges to deliver

Has anyone come up with a systematic way of comparing say emini daily/intraday volatility with the most popular forex pairs, like dollar yen, cable, euro, kiwi, aussie etc as well as crude among other markets?

Oanda has this: https://www.oanda.com/forex-trading/analysis/currency-volatility

But maybe there's something more systematic out there?
 
For each instrument, you could compare it's short term moving average of ATR percentage vs a longer term moving average of ATR percentage. You could then compare the differences in values for each instrument, thus measuring how volatile and instrument is compared to it's long term average. You could also compare the short term moving averages of ATR percentages against one another to find the most volatile instruments.
 
fan27 said:
For each instrument, you could compare it's short term moving average of ATR percentage vs a longer term moving average of ATR percentage. You could then compare the differences in values for each instrument, thus measuring how volatile and instrument is compared to it's long term average. You could also compare the short term moving averages of ATR percentages against one another to find the most volatile instruments.
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By ATR % you mean % of asset price?

I like that, the ATR normalizes and the moving average smoothes, although the latter could introduce some lag.

Think the second idea, short term moving average, say 2 day moving average of ATR % across a bunch of markets should help. Will have to start googling, hard to believe someone hasn't done this out there on a blog or site.
 
Maverick1 said:
Thank you. Do you do this exercise yourself? You cycle through to another market if volatility dies down?
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Not at the moment. What I described is the first thing that came to mind when I read your post. I used to do something similar where I had a rotation strategy that compared a basket of ETF's percentage change over different periods, would score them and then enter the strongest performing ETF(s). This would be done at set intervals. It made money but I moved on to futures.
 
based on the Oanda site, which does something similar (but lookback period is a week it appears), USD-CHF and NZD-USD move 1.5% to 1.7% on a high to low basis, highest among majors…. By contrast, NQ today which is more volatile than most days in the past week, is moving currently at 1.1%, yesterday was an awful 0.6%!
 
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