In your opinion wich one is the best volatility indicator?
Average True Range
How do you use it to trade?
Standard Deviation is a measure of Bollinger Band width, so counts as the same.
In general I find ATR is less laggy than Bollinger Bands
For both ATR & StdDev, I find a threshold for go/no go on trending strategies, eg if ATR below n.nn dont trend-trade
Also dont forget that ATR on the longer timeframes can indicate a 'good' day or otherwise for trend plays
You might reverse the logic for range-based strategies
And.. dont forget ADX
You must study these in relation to the chosen pair & time-frame & remember that a successful EA will generally look at more than just one time-frame for confirmation...
Right now, my EA Kanguru is using ADX, PSAR, Stochastic, ATR, Standard Deviation and MACD, on H4, H1, M30 and M15, all mixed toghether! It looks ok because from 10.000 I'm getting around 1.000.000, backtesting the AUD-USD, around 17% drawdown and a profit trades percentage of around 70%, from 01-01-2008 until today. The problem is that whe I try to test it on diferent time periods, such as previous to 2008, I get big losses. So I'm looking for a way to filter out some false signals...
Thanks for your help!