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Volatility indicators

1 replies

9 years ago #112459

Whats some of your preferred ways to quantify high or low volatility?

ATR[x]>ATR[y] ?
ADX <20?
ADX> 30?

How would you quantify high and low vol?

9 years ago #125772

I personally would probably use ATR, by comparing ATR with small period (current volatility) with ATR with much bigger period (representing average long term volatility)

Mark
StrategyQuant architect

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