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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Script protegido
Este script se publica como código cerrado. No obstante, puede utilizarlo libremente y sin ninguna limitación. Obtenga más información aquí.
Exención de responsabilidad
La información y las publicaciones no constituyen, ni deben considerarse como asesoramiento o recomendaciones financieras, de inversión, de trading o de otro tipo proporcionadas o respaldadas por TradingView. Más información en Condiciones de uso.