Trading Strategy: Based on macro news events & volatility ratio

Discussion in 'Strategy Development' started by rs2000, Feb 27, 2018.

  1. rs2000


    Hi All,

    I am working on a project wherein I have to use some macro news events(jobs data, cpi changes, interest rate increase etc) and use that days volatility ratio to devise a trading strategy

    Vol Ratio= True range on trade date/Trade range for past N days

    Can you please help me get some research papers or trade ideas on which

    1. which macro news to use in particular
    2. how to use the vola ratio to generate a trade signal (Buy & Sell)

    please kindly share your ideas

    thanks a lot
  2. Handle123


    Ever hear term you have to give to get?
    fordewind likes this.
  3. rs2000


    As a student, this is for my course project so really not looking for some proprietary ideas. more of some help to brain storm here, please. thanks
    777 likes this.
  4. You still asking a lot.General ideas take you nowhere though.
  5. But...since you are on ET, everything possible.Check the image attached.This is the idea on how ATR is traded.Lows breach lower line you go long.Highs breach upper line you go short.Now combine it with the news and you got it.(don`t show it to anyone);) Vola entries.png
    cvds16 likes this.
  6. rs2000


    many thanks! really this is more for me to try my hands on strategies and program in python ...isn't aimed at producing a killer alpha....I will try and post my results here..
    thanks again
  7. rs2000


    thanks :) I wont show to anyone :)

    how are the bands(upper and lower lines calculated), are they some sort of moving averages of ATR?
  8. This is how the bands are calculated(C# code snippet):

    double u = Close[0] + offset * ATR(Median,Period)[0];
    double l = Close[0] - offset * ATR(Median,Period)[0];
  9. newwurldmn


    First generate the regression. Once you generate that data, it will be pretty obvious what strategies to investigate.
  10. carrer


    Just wanted to add. This will mislead those who are new to trading into believing that trading is that simple. Here's why:

    - This is hindsight and it usually looks good in hindsight.
    - The 'ATR Channel' will change it's position until the candle is closed. Therefore, only after the candle is closed will we know if the signal is valid. By the time, the price would have moved substantially and it could be the top or bottom.
    #10     Feb 28, 2018
    fordewind likes this.