Dual Volatility Stop

23:18 TerryT: In case someone is interested in playing with it, I uploaded a template that implements a variation of the volatility stop. The variation is that you can set a different multiplier for the long stop and the short stop since things go up differently than they go down

23:20 TerryT: I have not yet done much experienting/tuning with it. (just got it working)

23:21 TerryT: An interesting thing to try might be to attempt to adjust it to handle shorts better than longs or vice versa. Or to simply try to do a better job of handling both at the same time.

23:30 Shar: Terry, is there a chart to go with it?

23:31 TerryT: Shar. I can put one up. But I don't claim to have optimal parameters. I'll just stick some in to show the variation. It will take me a minute

23:32 Shar: ok, thanks. Just easier to see what you're talking about.

23:42 TerryT2: Image 01 settings are numbars => 9 , upperMult => 2 , lowerMult => 2

23:43 TerryT2: Image 02 settings are numBars => 9 , upperMult => 2, lowerMult => 1

23:46 TerryT2: Changing the long multiplier to stay 1 average true range away (instead of 2) tightened up the long stop without tightening the short stops.

23:47 Shar: ahhh...Thanks Terry

23:47 TerryT2: yw Shar.

23:50 TerryT2: Not sure that this is useful. However, it took long enough to set up that you would have to be pretty motivated to try it. So I thought it was worth sharing the details.

23:50 Shar: Very kind of you to share.

23:50 TerryT2: Maybe someone will have a better idea

DOC file

A Volatility Stop with a separate multiplier for the upper and lower curves. If the multipliers are set equal to each other, it should behave like ensign's volatility stop study.

Since mkts move up differently than they move down, I am hopeful that having a multiplier for each direction will improve the tunability of volatility stops.

I may want to use one pair of multiplier settings for long trades and different pair of multiplier settings for short trades.

3 dyos.

Parameters are set in the first dyo.

3rd dyo has output values:

long/short flag => line H (also gv 255)

current stop => line I ( also gv 254)

stop hit => line J (also gv 253)

-Terry Thrift-

March 25, 2006