Trading Strategy: Based on macro news events & volatility ratio

[Spectre2007]

You guys are trying to get the poor kid killed... You need to develop vol metric on granular data of your choice.

 

[rs2000]

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];

thanks a lot of explainign the details

I have been asked to use volatility ratio to generate trade signals. How can I use this Volatility ratio to generate bands or trading singnals. Please share some ideas. Many Thanks!

 

[winnertakesall]

If volatility ratio > 1.1 or some x, then enter on the side of the momentum. Simple really.

 

[rs2000]

Thanks for your help. Here is the project statement

1. A simple approach to measure the effect of an event is to identify the size of its reaction. This can be done by comparing the volatility of the current day with the average volatility of the recent past, using the true range calculation:
   

Programmatically calculate the historical volatility ratios of the preferred market indices and identify the relative effect of the chosen news event in statistical context

1. Determine the optimal values of Volatility Ratio that has greatest predictive power in back-tests
2. Device a simple trading strategy that trades any of the broad market indices based on buy-sell signals generated from Volatility as an event driven indicator

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My questions, please help me find the answers

1. Where to find the economic data release dates for python access. I tried quandl but the dates are just 1st or last dates of a month and not the actual data release dates.

2. once I have the actual news dates, how can I statistically calculate the effect of news on the vol ratio during backtest? shall I calculate how vol ratio jumps up on the news release date?


3. what kind of trading strategy can we use for this vol ratio on new release date? for momentum, shall I use the return over past 2 days (of the news release date) and go long or short based on that? When do I unwind this position?

4. for the trading strategy, shall I use combination of miving average and volratio? I dont know how this can be used. please share some ideas. This is more for my brainstorming and actually showing that I tried different ideas


thanks a lot for the help

 

[rs2000]

Hi All

I am doing this
if its a GDP or jobs news release day and if volratio >1.3,

go long if the return on that day>0

go short if return on that day <0

else if not a news day
go long if 20 day MA > 52 day MA
go short if 20 day MA < 52 MA

I used NASDAQ composite underlier but the result i get arent good. NAsdaq has tipplled in last 10 years and my portoflio is only givena return on 25% in last 10 years.. how can i refine this. please share ideas

thans a lot

 

[rs2000]

thanks all. I did management to implement the abve strategy and it has worked fine so far

thanks!