If your a struggling trader.... wait for a market that is volatile and slap exponential moving averages on a tick chart. Trade it with the signals, and increase account size. or if your a hedge fund, scan the various markets all over the world that you have access to, look for securities that meet your volatility filter. Slap some exponential moving averages and sit back..
red lines represent consolidation phases..(how would you go about not implementing system duing consolidation phase)?
still no filter, 40 different commodity markets, traded since 1950.. turtle position size entry exits,
how would you go about assessing volatility based on the different metrics of a given market? - tick movement per second (micro price structure) - order flow size on DOM (micro price structure) - price variance (macro price structure)
you can anticipate it, but can't predict volatility with certainty. - news reports - fed meetings/decisions - underlying index components news/technicals. - world events if you could predict volatility, you can buy and sell it like anything else. Only when your in the midst of it, you will be able to tell. One could argue the volatility catalysts are instigated by banks/media/ .. so following trading houses ,... goldman is trying to create a volatility event, 'fiscal cliff'.. http://www.cnbc.com/id/48725644/Goldman_to_Clients_Get_Out_of_Stocks_Before_Fiscal_Cliff_Hits
earthquake algorithms.. are similar, small tremors precede the big ones. I'm sure all the large banks are employing quants who have already coded financial sensors similar to seismic monitors, to sense when the moving averages of volatility cross. http://academic.research.microsoft.com/Paper/5156614.aspx