Syntax
public VolatilitySwitch(DataSeries ds, int period, string description)
public static VolatilitySwitch Series(DataSeries ds, int period)
Parameter Description
| ds | The source DataSeries |
| period | Lookback 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).