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Old 12-02-2018, 12:41 PM
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investigate Automatic Granularity Adjustment based on Volatility

Traders who benefit from movement as opposed to time (option sellers) need to adjust their timeframe of trading based on volatility.

This means that not only intraday traders reduce their timeframe (say from 5 min to 2 min) based on volatility but also end of the day traders switch to hourly or even minute frames when the volatility is high.

I am trying to work out a formula to do this automatically, if others have thoughts on the subject, feel free to add below.
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Old 17-02-2018, 09:55 PM
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Good thought, i remember reading such an idea in the book "The (Mis)Behavior of Markets". The author had composed a model where price was a function of trading time which in turn was a function of clock time. Basically redistributing time by stretching and compressing in areas based on price elasticity (which we call volatility in simple terms).

The solution proposed by the author was quite mathematically intensive.

https://www.amazon.de/Misbehavior-Ma.../dp/0465043577
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Old 17-02-2018, 10:02 PM
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chezo ko complex karne se kamai nahi hoti..
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Old 18-02-2018, 12:37 AM
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Originally Posted by Robin View Post
chezo ko complex karne se kamai nahi hoti..

https://www.bloomberg.com/news/artic...re-on-the-cusp

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Old 18-02-2018, 08:59 AM
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Originally Posted by JJ View Post
Traders who benefit from movement as opposed to time (option sellers) need to adjust their timeframe of trading based on volatility.

This means that not only intraday traders reduce their timeframe (say from 5 min to 2 min) based on volatility but also end of the day traders switch to hourly or even minute frames when the volatility is high.

I am trying to work out a formula to do this automatically, if others have thoughts on the subject, feel free to add below.

I am intraday trader and when volatility is High then expect for Mean reversion.
during higher volatility days avoid going long above VAH and short below VAL.
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Old 20-02-2018, 06:29 PM
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Originally Posted by Robin View Post
chezo ko complex karne se kamai nahi hoti..

Everything should be made as simple as possible, but no simpler
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Old 20-02-2018, 10:54 PM
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Great It's true U have to dig to lower tfs on low volty days.
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