Rajandran R Telecom Engineer turned Full-time Derivative Trader. Mostly Trading Nifty, Banknifty, USDINR and High Liquid Stock Derivatives. Trading the Markets Since 2006 onwards. Using Market Profile and Orderflow for more than a decade. Designed and published 100+ open source trading systems on various trading tools. Strongly believe that market understanding and robust trading frameworks are the key to the trading success. Writing about Markets, Trading System Design, Market Sentiment, Trading Softwares & Trading Nuances since 2007 onwards. Author of Marketcalls.in and Co-Creator of Algomojo (Algorithmic Trading Platform for DIY Traders)

Simple Volatility Exploration – Amibroker AFL Code

1 min read

Here is a simple Amibroker AFL Code to Explore (Scan) in Amibroker to get a picture about the recent volatility and how the volatility in the market is behaving to get a perspective about the market.

Once you get the right perspective about the market you can learn to control the expectation from the market volatility.

Often in the market “large changes tend to be followed by large changes… and small changes tend to be followed by small changes”

What are the ways to measure volatility?

There are many ways to measure volatility. Talking about current volatile conditions (Realized Volatility) I prefer to use the simple tools like prev day close to todays close price swings, high to low intraday volatile swings and ATR Based volatility.

Here is the recent picture of how recently the market behaved in the last two months (March 2020 and April 2020).

What we can conclude from the above picture is that March 2020 volatility went to the extreme and started cooling down after hitting the lock down period. Fear was there during the last week of March 2020 however post the lockdown fear started slowing down (i.e after 23rd March 2020). This phase markets showed erratic intraday and daily volatility. Bigger swings and wild intraday fluctuations been there.

And from Lock down 2.0 onwards the fear in the market is completely slowing down as the intraday fluctuations is reducing day by day and most of the bigger price action still happens in the form of gap up or gap down. However post the gap up or gap down not much of a bigger price action like March 2020 but a controlled intraday volatility.

Here is the Amibroker AFL code to retrieve the volatility data points.

https://gist.github.com/439fe588328da7362c6ec69ff81820a9

Happy Trading!

Rajandran R Telecom Engineer turned Full-time Derivative Trader. Mostly Trading Nifty, Banknifty, USDINR and High Liquid Stock Derivatives. Trading the Markets Since 2006 onwards. Using Market Profile and Orderflow for more than a decade. Designed and published 100+ open source trading systems on various trading tools. Strongly believe that market understanding and robust trading frameworks are the key to the trading success. Writing about Markets, Trading System Design, Market Sentiment, Trading Softwares & Trading Nuances since 2007 onwards. Author of Marketcalls.in and Co-Creator of Algomojo (Algorithmic Trading Platform for DIY Traders)

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