Standard Deviation

[fordewind]

I use standard deviation of price in some of my automated strategies. So it can work. But I also have plenty of strategies that I created with standard deviation in them that did not work.


So, for me, standard deviation is something to try, but it is not a "must have."

Oh, finally...Thanks, Kevin!

 

[HobbyTrading]

Thanks, but i`d prefer opinions from the ET members and if someone has utilized any sort of SD in their automated strategies to some success.

I do use standard deviations on price in my automated trading strategy. It is used to determine the volatility of an instrument. This volatility is used to determine what position size to take.

 

[Spectre2007]

STD works in combination with another indicator that looks at tick granularity. The minimum and maximum thresholds are key. If you look at past posts, the answer is ATR. Just STD has low utility. You need a combined approach to give the ‘state’ of the market. It’s one of my best systems. Just watches and waits till thresholds are optimal.

You have to backtest and find the number of bars and thresholds on multi year tick data.

 

[fordewind]

STD works in combination with another indicator that looks at tick granularity. The minimum and maximum thresholds are key. If you look at past posts, the answer is ATR. Just STD has low utility. You need a combined approach to give the ‘state’ of the market. It’s one of my best systems. Just watches and waits till thresholds are optimal.

You have to backtest and find the number of bars and thresholds on multi year tick data.

Yes, sir.So you pick ATR over STD?Or combine both?

 

[fordewind]

To be precise, i`m trying to utilze STD in combo with auto channels for the less "jerky" entries.I tried it in combo with ATR and STD but didn`t noticed big difference.

 

[Xela]

So you pick ATR over STD?

You don't have to guess; you have to test.

(But if I had to pick one and guess, then yes: I'd certainly pick ATR over SD.)

 

[Spectre2007]

To be precise, i`m trying to utilze STD in combo with auto channels for the less "jerky" entries.I tried it in combo with ATR and STD but didn`t noticed big difference.

The trade signals are filtered where both STD and ATR have to exceed or be below certain thresholds. So signals only generate orders when there is extremely high volatility and also low volatility intraday.

Very low volatility is just as important as extremely high volatility.

 

[fordewind]

The trade signals are filtered where both STD and ATR have to exceed or be below certain thresholds. So signals only generate orders when there is extremely high volatility and also low volatility intraday.

Very low volatility is just as important as extremely high volatility.

Yes, i`m doing exactly just that.But i look at a below thresholds value.Isn`t it a classic?

 

[fordewind]

You don't have to guess; you have to test.

(But if I had to pick one and guess, then yes: I'd certainly pick ATR over SD.)

i`m testing it.Could you expand on your preference,please.

 

[Spectre2007]

i`m testing it.Could you expand on your preference,please.

Sure,

Take a look at this

Tic: 240
Period 80 80 ATR STD
STD max 2.1 min 2.1
ATR max 1.2 min 1.2


The above is my vol filter.