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Volatility indicators for MT4 - page 3

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JohnCrawdford
16
JohnCrawdford  

Pairs volatility comparison

I know that at this time of the year the volatility decreases (although we have already passed the holidays) and right now the crises, the double-dip threat and the lack of bank liquidity are not helping the forex market. However, when I look at the charts I note a considerable reduction in volatility, during the last few weeks, I don't know if is just me, or we are really seeing a reduction in volatility in some Pairs such as EUR/USD. I would like to know where can I find a volatility pair comparison index/chart, to check which pairs are still volatile enough and which pairs are simply not worth it.

fx1-D
5
fx1-D  

Link to Forex volatility

Hi JohnCrawdford,

Go to FOREX - Mataf.net -> TOOLS/CHARTS -> Forex volatility

The following table represent the currency's daily variation measured in Pip, in $ and in % with a size of contract at $100'000. You have to define the period to calculate the average of the volatility. It could be interesting to trade the pair which offer the best volatility.

Chers,

fx1-d

JohnCrawdford:
I know that at this time of the year the volatility decreases (although we have already passed the holidays) and right now the crises, the double-dip threat and the lack of bank liquidity are not helping the forex market. However, when I look at the charts I note a considerable reduction in volatility, during the last few weeks, I don't know if is just me, or we are really seeing a reduction in volatility in some Pairs such as EUR/USD. I would like to know where can I find a volatility pair comparison index/chart, to check which pairs are still volatile enough and which pairs are simply not worth it.
Mladen Rakic
67943
Mladen Rakic  

Forex-TSD volatility indicator ...

Interesting link fx1-D. Thanks


I like the volatility indicator from there so I decided to make our version too from what I saw there.

Some explanation : this is an intraday volatility indicator. It calculates required weeks (specified by VolatilityPeriodWeeksparameter) of intraday volatility averages of any symbol (decided to add possibility to choose symbol other than current chart symbol - I know at least one person that will be glad that I did this ) and that way you can have something like this :

Intraday hours are, with default settings, broker hours. If you wish to have that GMT time, set the HourShiftparameter to desired value that will correct the broker time difference compared to GMT. Here is an example of ibfx with hour shift 0 and alpari with hour shift -2 (since alpari I am using is GMT+2, in order to have it GMT 2 hours have to be subtracted) and as you can see differences between the 2 brokers are marginal

IBFX :

Alpari :

Bars per hour parameter simply regulates how many bars wide should be the display of each and every hour (per default they are 6 bars wide). IndicatorUniqueIDhas a purpose of ensuring that each instance has unique name that will then enable simultaneous multiple displays (as in first example)

Mladen Rakic
67943
Mladen Rakic  

Volatility ratio ...

Volatility ratio ...


PS: for those asking themselves what can a volatility indicator be used for, one possible usage : it is always difficult to determine from EAs what is a cause of some sudden price change and to quantify what is the significant level of change that should be "taken intio account". With levels of 1 and 3 in this indicator, code can "know" that it is a calm period, or that some significant event (like news) had trigiered a change even without trying to connect to some news providing sites (which is in those times always stressfull even from code - since it can cause rather big delays in decisions)

biddick
339
biddick  

Nice and useful indicator Mladen ,thanks.Ideal situation would be trend(up or down) developed by bars(or candles) with low volatility ratio.

Mladen Rakic
67943
Mladen Rakic  

...

Exactly That is the ideal one (slowly and steadily developing direction). High volatility periods (points) could be treated as "milestones" for turning or continuation points

biddick:
Nice and useful indicator Mladen ,thanks.Ideal situation would be trend(up or down) developed by bars(or candles) with low volatility ratio.
Mladen Rakic
67943
Mladen Rakic  

...

Maybe a bit more useful way of measuring what the normal volatility should be (but still kept the old way, just in case ).

In this one instead of having a fixed level of 1 for a "normal volatility" you can have a dynamicaly built expected normal volatility. When volatility changes are kept within expected deviations, the "normal level of volatility" is kept as a horizontal line that depends on previous changes. If one prefers fixed level 1 for "normal volatility" then simply set the DeviationsForStepsparameter to 0 or less than 0

Here is how it looks with dynamically built "normal level" of volatility (high volatility level of 3 is still kept - I think it is a reasonable choice for something like that)

volatility_ratio_-_stepped.mq4

fareastol
57
fareastol  

Volatility Stats for Week

Awesome Mladen !

I know that the same kind of statistics for daily range each week would be very helpful also. Could you make this helpful indicator showing volatility for each day weekly in a range of some weeks (say, for 3 months or so) ?

Regards,

fareastol

mladen:
Interesting link fx1-D. Thanks


I like the volatility indicator from there so I decided to make our version too from what I saw there.

Some explanation : this is an intraday volatility indicator. It calculates required weeks (specified by VolatilityPeriodWeeksparameter) of intraday volatility averages of any symbol (decided to add possibility to choose symbol other than current chart symbol - I know at least one person that will be glad that I did this ) and that way you can have something like this :

Intraday hours are, with default settings, broker hours. If you wish to have that GMT time, set the HourShiftparameter to desired value that will correct the broker time difference compared to GMT. Here is an example of ibfx with hour shift 0 and alpari with hour shift -2 (since alpari I am using is GMT+2, in order to have it GMT 2 hours have to be subtracted) and as you can see differences between the 2 brokers are marginal

IBFX :

Alpari :

Bars per hour parameter simply regulates how many bars wide should be the display of each and every hour (per default they are 6 bars wide). IndicatorUniqueIDhas a purpose of ensuring that each instance has unique name that will then enable simultaneous multiple displays (as in first example)
Mladen Rakic
67943
Mladen Rakic  

Forex-tsd daily volatility ...

fareastol

Here you go Upper is daily wolatility (you still have to specify number of weeks of data you want, default is 12 which is roughly 3 moths) It also takes into account Sunday data too (if exists) Here is an example of a broker with existing Sunday data (upper is the daily volatility lower is the intraday volatility

PS: day 0 is Sunday (it is a metatrader way of counting week days)

____________________________________

A pleasant weekend to all

fareastol:
Awesome Mladen !

I know that the same kind of statistics for daily range each week would be very helpful also. Could you make this helpful indicator showing volatility for each day weekly in a range of some weeks (say, for 3 months or so) ?

Regards,

fareastol
fareastol
57
fareastol  

Thanks a million, Mladen !

I believe this kind of indi would be a must for any trader around.

Best wishes to you !

fareastol

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