StockFetcher Forums · General Discussion · Feature request : Volatility stop<< 1 2 >>Post Follow-up
cidrolin
21 posts
msg #121500
Ignore cidrolin
9/15/2014 8:10:41 AM

There were in the past some requests for "volatility stops" as freestockcharts.com provide.

The formula found was :

***
When Up Trend Detected.... VSTOP = CL - MULT * TR
As Up Trend Continues.... VSTOP = MAX(VSTOP.1, MaxCL - MULT * TR)
When Down Trnd Detected.... VSTOP = CL + MULT * TR
As Down Trend Continues.... VSTOP = MIN(VSTOP.1, MinCL + MULT * TR)
*** from https://www.linnsoft.com/techind/volatility-stop-vstop

The question of Stockfetcher team was how to detect the trend... I think the idea is only to compare closing price to typical price + average true range :

****
avola=averagetruerange[bb](close)
avg=medianprice
up=avg+aa*avola
dn=avg-aa*avola
once trend=1
if close>up[1] then
trend=1
elsif close trend=-1
endif
**** from http://hk-lisse.over-blog.com/tag/trailing%20stop/ (in french)


Could stockfetcher team try to code this and compare it to freestockcharts.com ?

I think this indicator can be very useful for setting up exit stop in swing tranding

Kevin_in_GA
4,541 posts
msg #121501
Ignore Kevin_in_GA
9/15/2014 8:40:09 AM

While not the same as what you are proposing, SF does have a volatility stop already:

http://www.stockfetcher.com/forums/Indicators/Chandelier-Exit/30756

Fetcher[
symlist(spy)
draw Chandelier Exit(22,2)
draw Parabolic SAR
draw Bollinger Bands(22,2)
]





cidrolin
21 posts
msg #121502
Ignore cidrolin
modified
9/15/2014 10:17:15 AM

This is something similar, but volatility stop uses a ratchet system which ensures that stop will only goes up (resp. down) in up (resp. down) trend.

cidrolin
21 posts
msg #121503
Ignore cidrolin
9/15/2014 1:09:28 PM

A revue of differents volatility stops can be found here : http://www.incrediblecharts.com/indicators/volatility_stops.php

duke56468
683 posts
msg #121508
Ignore duke56468
9/16/2014 10:32:21 AM

This has been requested several times in the past. SF just seems unwilling to do it??

stockfetcher
963 posts
msg #121523
9/16/2014 1:29:26 PM

From past experiences, we have learned that stop/trend tracking algorithms, such as the one mentioned in this thread, are problematic to implement on StockFetcher. The primary problem, as indicated in the first post, is detecting/following a trend using StockFetcher. Typically, these trends require an established starting point (often based on an "entry" position) to determine what the trend is, and are based on a recursive calculation from that point forward.

It isn't our intent to say that these are not important or useful functions; however, we have discovered that they are much more akin to a tracking tool, as opposed to a stock screening service.

We will look into this feature again, but do not have any estimates as to when or if we will be able to add this functionality.

Thank you,
StockFetcher Support


duke56468
683 posts
msg #121524
Ignore duke56468
9/16/2014 3:59:27 PM

SF is it that much more difficult to implement than Parabolic SAR or Chandelier Exit?

stockfetcher
963 posts
msg #121525
9/16/2014 4:26:50 PM

From our experience, the measure in question is more difficult to implement as some aspects of the formula are less well defined/documented than the other two measures you mention. For example, some implementations of the "volatility stop" interpret the "trend" based on a moving average, others on a trend-line, etc. The lack of definition leaves the implementation open to interpretation.

That said, if the measure can be completely detailed including initial points, as well as a description of all data and methods required to calculate, we would be very happy to look into it further.

Thank you,
StockFetcher Support


cidrolin
21 posts
msg #121534
Ignore cidrolin
modified
9/18/2014 6:44:22 AM

It seems to me that the logic of "trend detecting" is self consistent. If stop is broken, the trend is reversed.

- Determine the initial trend direction
-...
- Repeat each day until price closes below the stop (or above in a down-trend)
- reverse the trend and continue

cidrolin
21 posts
msg #121535
Ignore cidrolin
9/18/2014 6:49:56 AM

"""
Typically, these trends require an established starting point (often based on an "entry" position) to determine what the trend is, and are based on a recursive calculation from that point forward.
"""


As a starting point you can check if close is below or above the corresponding ma. If this point is far away in the past, there is little chance you do a mistake on trend detection after that, because a mistake means
1. that you are below (above) the ma whereas you are in a UP (DOWN) trend at this starting point
2. there is no trend change after that.

It seems to be unlikely.

StockFetcher Forums · General Discussion · Feature request : Volatility stop<< 1 2 >>Post Follow-up

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