2005 Feb: The Truth About Volatility

[eSignal_JasonK]

Hello Bubby,

I don't off hand. Try the search feature using one of those keywords, congestion or chop and you should find something I'm sure.

[BlueMoon74]

I found these volatility studies last night while prowling the boards. I do not have the original article that explains their use. Does anyone have any documentation on how to use these? I have been searching for volatility studies using ATR and these look great. Thanks in advance.

[eSignal_JasonK]

Hello BlueMoon74,

The related article is copyrighted material. If you are not a subscriber of Stocks & Commodities, please visit www.traders.com. You may subscribe or purchase the individual article for $3.95.

[acetrader2]

Re: 2005 Feb: The Truth About Volatility

Originally posted by JasonK
File Name: VolatilityEntryAdvisor.efs, VolatilityProfitIndicator.efs, VolatilityTrailingStopP15.efs
[/php]

When Volatility Entry Advisor is applied the price bars change colors as you show, but two lines are also drawn... what are these? These lines don't show on your image. Volatility Entry Advisor is the only study on the chart.

[eSignal_JasonK]

Hello acetrader2,

They are the entry and exit lines. I added these plots after the fact so you can see what the entry and exit signals were based on.

[acetrader2]

Originally posted by JasonK
Hello acetrader2,

They are the entry and exit lines.

Could you elaborate a little please... I understand the bar color change, but not "entry and exit lines". I've read the article and don't see these mentioned.

Appreciate your help very much!!!

[eSignal_JasonK]

Hello acetrader2,

The article does not draw these two lines on the chart either, which is why I added them after the fact. I thought it would be helpful to see them visually. The study in the article only colors the bars according to the entry and exit triggers, which are based on these two lines. The logic for them is outlined on page 16 at the bottom of the left column.

[acetrader2]

Thank you Jason... that's very helpful. As an option, if I want to remove these lines or change their colors how would I do this?
Thanks again.

[ACM]

acetrader2
If you want to remove the lines then comment out line 85 by inserting // before return new Array(vEntryLine, vExitLine); and uncomment line 84 by removing the // before return;
The colors of the plots are defined in lines 25 and 26 of the script
Alex

[BlueMoon74]

Anyone having success on intraday timeframes?

I purchased the article from TA of S&C. Quite interesting. I have been reviewing theses entries and exits on intraday charts for the S&P eminis. No hard evidence yet but seems to hold a lot of promise as long as one doesn't use charts that are too fast. There has been some discussion about using this for shorts as well as longs. I have been studying both and the application seems legitimate for the short side as well. The tricky part can be when a trade in one direction is open and hasn't been stopped, the market gets the necessary RSI reading in the opposing direction, and then the bars change color to trigger the trade. (I am using a faster RSI on intraday.) This can cause a bit of whipsaw and will have to be monitored. Is anyone else using these studies intraday? If so please post some thoughts or experiences.

[acetrader2]

Alert with pop-up

There is a version of the Volatility Entry Advisor with alerts (volatilityentryadvisor(alerts).efs. The alert plays a sound when the bar colors change. ACM added the following to the code:

//begin section added by ACM
vColor2=vColor1;
vColor1=vColor;
if(vColor1!=vColor2){
Alert.playSound("ding.wav");
}
//end added by ACM

In addition, I would like an alert pop-up and the alert added to the list so I added the following:

var sStr = "Alert!!";
var cBG;
vColor2=vColor1;
vColor1=vColor;
if(vColor1!=vColor2){
Alert.playSound("ding.wav");
Alert.addToList( getSymbol(), sStr, Color.RGB(0,0,0), cBG );
}
I get a syntex error vcolor1 not defined.

Can someone please help. Thanks!

[eSignal_JasonK]

Hello acetrader2,

Based on the code snippet you posted I'm not sure why you are getting an undefined error on vColor1. Please post a complete copy of your formula.

[acetrader2]

Originally posted by JasonK
Hello acetrader2,

Based on the code snippet you posted I'm not sure why you are getting an undefined error on vColor1. Please post a complete copy of your formula.

Good to hear from you! Code follows:

Following is the complete code:

/************************************************** ***************
Provided By : eSignal (c) Copyright 2004
Description: Volatility Entry Advisor - by Jim Berg

Version 1.0

Notes:
February 2005 Issue - "The Truth About Volatility"

Formula Parameters: Defaults:
ATR Periods 10
LL and HH Periods 20
Thickness 2
************************************************** ***************/

function preMain() {
setPriceStudy(true);
setStudyTitle("Volatility Entry Advisor ");
setCursorLabelName("Entry", 0);
setCursorLabelName("Exit", 1);
setDefaultBarThickness(2, 0);
setDefaultBarThickness(2, 1);
{setDefaultBarFgColor(Color.green, 0);
setDefaultBarFgColor(Color.khaki, 1);}

setColorPriceBars(true);
setDefaultPriceBarColor(Color.grey);

setShowTitleParameters(false);

// Formula Parameters
var fp1 = new FunctionParameter("nATRlen", FunctionParameter.NUMBER);
fp1.setName("ATR Periods");
fp1.setLowerLimit(1);
fp1.setDefault(10);
var fp2 = new FunctionParameter("nDonlen", FunctionParameter.NUMBER);
fp2.setName("LL and HH Periods");
fp2.setLowerLimit(1);
fp2.setDefault(20);

// Study Parameters
var sp1 = new FunctionParameter("nThick", FunctionParameter.NUMBER);
sp1.setName("Thickness");
sp1.setDefault(2);
}

var bEdit = true;
var vATR = null;
var vDonchian = null;
var vColor = Color.grey;


function main(nATRlen, nDonlen, nThick) {
if (bEdit == true) {
vATR = new ATRStudy(nATRlen);
vDonchian = new DonchianStudy(nDonlen, 0);
setDefaultBarThickness(nThick, 0);
setDefaultBarThickness(nThick, 1);
bEdit = false;
}

var nState = getBarState();
if (nState == BARSTATE_NEWBAR) {
//begin section added by ACM
var sStr = "Alert!!";
var cBG;
vColor2=vColor1;
vColor1=vColor;
if(vColor1!=vColor2){
Alert.playSound("ding.wav");
Alert.addToList( getSymbol(), sStr, Color.RGB(0,0,0), cBG );
}
//end added by ACM
}

var ATR = vATR.getValue(ATRStudy.ATR);
var HHV = vDonchian.getValue(DonchianStudy.UPPER);
var LLV = vDonchian.getValue(DonchianStudy.LOWER);
if (ATR == null || HHV == null || LLV == null) return;

var vEntryLine = LLV+(2*ATR);
var vExitLine = HHV-(2*ATR);
var c = close();

if (c > vEntryLine) {
vColor = Color.blue;
} else if (c < vExitLine) {
vColor = Color.red;
}
setPriceBarColor(vColor);

return;
//return new Array(vEntryLine, vExitLine);
}

[eSignal_JasonK]

Hello acetrader2,

The code you have posted is missing the global initialization code for the vColor1 variable, which is why you are getting the error. You have made several changes/deletions to Alex's original code that will cause some other problems as well. I think the best approach for you is to start with a fresh copy of Alex's study posted earlier in the thread and just add the Alert.addToList() function after the Alert.playSound() function that Alex added. Start with some hard-coded parameters for the alert, save and then test your code. Then add one variable at a time for the Alert parameters, save and test as you go to ensure that it's doing what you want.

[acetrader2]

Hi Jason,

I really appreciate your reply, but frankly it's way over my head. I am not a programmer as you can probably tell, so when you say Global initialization string is missing... I don't have the slightest idea what it is. Same with the add variables... what variables?

Could you elaborate or give me some specific direction? It seems like a simple task to add a pop-up alert, but I can't find any help or documention. Thanks.