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ccsli
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Everything posted by ccsli
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Maybe you are trading in the future settlement day afternoon session, when most investors have already rolled over to next month contract, that's why the trading is thin and the spread is huge.
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I am thinking of Average True Range. I am using Jurik RSX and find it reasonably good. If I can adjust RSX to volatility so it reacts faster when the volatility is high, then it should be a even better tool. Happy to share my strategy if you would like to find out more. Thanks
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Most traditional indicators have a specific look back period, for example traditional RSI usually has a look back period of 14. Volatility in the market or stocks changes all the time, and in fast market really we need a shorter look back period for these lagging indicators to react fast enough to the market. Has anyone look into coding a volatility adjusted momentum indicator? Any hints would be appreciated. Calvin