PROTECTED SOURCE SCRIPT
ATR Spikes
Volatility Spike Indicator (ATR based)
I read some of Adam Grimes' work and found he uses a tool called sigma spikes, his concept is to mark significance to daily bars that have returns over x standard deviations of a 20 period average of returns.
I have adapted this idea for intra day trading. I've used an ATR and marked significance to any bar with a range greater than 4 standard deviations of the ATR, this results in attention being drawn to bars with strong momentum behind them and often results in strong follow through.
Additionally, I have included a MA crossover (fast/slow) filter to the indicator, this removes any signals that are counter- short term trend/momentum.
This is a powerful tool for momentum traders as it clearly shows points when the market has significant volatility.
I read some of Adam Grimes' work and found he uses a tool called sigma spikes, his concept is to mark significance to daily bars that have returns over x standard deviations of a 20 period average of returns.
I have adapted this idea for intra day trading. I've used an ATR and marked significance to any bar with a range greater than 4 standard deviations of the ATR, this results in attention being drawn to bars with strong momentum behind them and often results in strong follow through.
Additionally, I have included a MA crossover (fast/slow) filter to the indicator, this removes any signals that are counter- short term trend/momentum.
This is a powerful tool for momentum traders as it clearly shows points when the market has significant volatility.
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Les informations et publications ne sont pas destinées à être, et ne constituent pas, des conseils ou recommandations financiers, d'investissement, de trading ou autres fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.
Script protégé
Ce script est publié en source fermée. Cependant, vous pouvez l'utiliser librement et sans aucune restriction – pour en savoir plus, cliquez ici.
Clause de non-responsabilité
Les informations et publications ne sont pas destinées à être, et ne constituent pas, des conseils ou recommandations financiers, d'investissement, de trading ou autres fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.