The final point to explain is this: let’s suppose our volatility forecast is above our threshold level, so we know we want to be long volatility. What do we mean by volatility being above our threshold level? I use a very simple metric: I take the TrueRange for the current bar and add 50% of the increase or decrease in TrueRange over the last two bars. I have made no attempt to optimize these parameters settings, which can easily be done in Tradestation or Multicharts. Short Volatility: Profit Target = 2 ticks, Stop Loss = 30 ticks Long Volatility: Profit Target = 8 ticks, Stop Loss = 2 ticks The parameters I ended up using are as follows: This is exactly the methodology I described earlier in the post. By short volatility I mean a position where we buy or sell the market and set a tight Profit Target and loose Stop Loss. It simply looks at the current levels of volatility and takes a long volatility position or a short volatility position depending on whether volatility is above or below some threshold parameters.īy long volatility I mean a position where we buy or sell the market and set a loose Profit Target and a tight Stop Loss. This strategy makes no attempt to forecast market direction and doesn’t consider market trends at all.
#Tradestation forum code
The attached ELD file contains the Easylanguage code for ES scalping strategy, which can be run in Tradestation or Multicharts. The strategy trades a single contract on 1-minute bars.
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