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Volatility indicator

1 replies

4 months ago #284402

Hi

I think a volatility indicator could be benefical. I have seen that we have a ATRP indicator but I have noticed that for example Perry Kaufman uses Annulized Volatility as a filter and in his position sizing calculations, not ATR.

I also recently stumbled across this blog post from Ceasar Alvarez where he shows that Volatility can be a better ranking indicator for a stock rotation strategy

https://alvarezquanttrading.com/blog/different-ranking-methods-for-a-monthly-sp500-stock-rotation-strategy/

Thanks

Mikael

4 months ago #284422

Hi,

we have not yet this available but you can add yourself or ask for coding help https://strategyquant.com/codebase/request-coding/

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