Trading Strategy: Based on macro news events & volatility ratio

[rs2000]

Hi All,

I am working on a project wherein I have to use some macro news events(jobs data, cpi changes, interest rate increase etc) and use that days volatility ratio to devise a trading strategy

Vol Ratio= True range on trade date/Trade range for past N days

Can you please help me get some research papers or trade ideas on which

1. which macro news to use in particular
2. how to use the vola ratio to generate a trade signal (Buy & Sell)

please kindly share your ideas

thanks a lot

 

[Handle123]

Hi All,

I am working on a project wherein I have to use some macro news events(jobs data, cpi changes, interest rate increase etc) and use that days volatility ratio to devise a trading strategy

Vol Ratio= True range on trade date/Trade range for past N days

Can you please help me get some research papers or trade ideas on which

1. which macro news to use in particular
2. how to use the vola ratio to generate a trade signal (Buy & Sell)

please kindly share your ideas

thanks a lot

Ever hear term you have to give to get?

 

[rs2000]

As a student, this is for my course project so really not looking for some proprietary ideas. more of some help to brain storm here, please. thanks

 

[fordewind]

As a student, this is for my course project so really not looking for some proprietary ideas. more of some help to brain storm here, please. thanks

You still asking a lot.General ideas take you nowhere though.

 

[fordewind]

But...since you are on ET, everything possible.Check the image attached.This is the idea on how ATR is traded.Lows breach lower line you go long.Highs breach upper line you go short.Now combine it with the news and you got it.(don`t show it to anyone)

 

[rs2000]

many thanks! really this is more for me to try my hands on strategies and program in python ...isn't aimed at producing a killer alpha....I will try and post my results here..
thanks again

 

[rs2000]

thanls

But...since you are on ET, everything possible.Check the image attached.This is the idea on how ATR is traded.Lows breach lower line you go long.Highs breach upper line you go short.Now combine it with the news and you got it.(don`t show it to anyone)View attachment 183209

thanks I wont show to anyone

how are the bands(upper and lower lines calculated), are they some sort of moving averages of ATR?

 

[fordewind]

thanls


thanks I wont show to anyone

how are the bands(upper and lower lines calculated), are they some sort of moving averages of ATR?

This is how the bands are calculated(C# code snippet):

double u = Close[0] + offset * ATR(Median,Period)[0];
double l = Close[0] - offset * ATR(Median,Period)[0];

 

[newwurldmn]

Hi All,

I am working on a project wherein I have to use some macro news events(jobs data, cpi changes, interest rate increase etc) and use that days volatility ratio to devise a trading strategy

Vol Ratio= True range on trade date/Trade range for past N days

Can you please help me get some research papers or trade ideas on which

1. which macro news to use in particular
2. how to use the vola ratio to generate a trade signal (Buy & Sell)

please kindly share your ideas

thanks a lot

First generate the regression. Once you generate that data, it will be pretty obvious what strategies to investigate.

 

[carrer]

But...since you are on ET, everything possible.Check the image attached.This is the idea on how ATR is traded.Lows breach lower line you go long.Highs breach upper line you go short.Now combine it with the news and you got it.(don`t show it to anyone)View attachment 183209

Just wanted to add. This will mislead those who are new to trading into believing that trading is that simple. Here's why:

- This is hindsight and it usually looks good in hindsight.
- The 'ATR Channel' will change it's position until the candle is closed. Therefore, only after the candle is closed will we know if the signal is valid. By the time, the price would have moved substantially and it could be the top or bottom.