Category: Advanced Indicator Set 2
Input parameters
Name
|
Setting
|
Default
|
Open
|
Open Time Series
|
Open
|
Close
|
Close Time Series
|
Close
|
Period
|
Integer >= 2
|
5
|
Breakout percent
|
Real number > 0
|
150
|
Calculations
Volatility Breakout High[i] = Close[i-1] + (Breakout percent/100*AvgRange),
Volatility Breakout Low[i] = Close[i-1] - (Breakout percent/100*AvgRange),
where:
AvgRange = Avg(Range, Period),
Range = Max(Abs(Open[i]-Close[i]), Abs(Open[i]-Close[i-1])),
i = current bar.
Discussion
The Volatility Breakout High indicator and the Volatility Breakout Low indicator form upper and lower bands of the Volatility Breakout trading system. The Volatility Breakout system is based on the assumption that when the price time series reaches a new high or low, it usually exceeds recent market volatility. A buy occurs when the price goes above the Volatility Breakout High. Similarly, a sell occurs when the price goes under the Volatility Breakout Low.
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