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# 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

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

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. ### fordewind

You still asking a lot.General ideas take you nowhere though.

5. ### fordewind

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)

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

thanls
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. ### fordewind

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.