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Volatility Switch

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Syntax

public VolatilitySwitch(DataSeries ds, int period, string description)
public static VolatilitySwitch Series(DataSeries ds, int period)

Parameter Description

dsThe source DataSeries
periodLookback period

Description

Ron McEwan's Volatility Switch from February 2013 Traders' Tips (Stocks & Commodities magazine) is a simple, intuitive yet seemingly effective new indicator whose purpose is to act as a filter in a trading strategy, facilitating it to adapt to changing market conditions. A change from a trending mode to a mean reverting one is measured through a ratio dividing the number of bars when the Historical Volatility (HV) of the daily close price change in a given lookback period was lower or equal to today's daily ROC's HV.

Example

Please refer to: TASC 2013-02 Volatility Switch (McEwan).

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