TRADESTATION VOLATILITY

When you convert an automated trading strategy from one system to another, there are a lot of things that will be  ’missing’. Such as a trading strategy from Tradestaion to NinjaTrader, you may not have some of the built in indicators that you had with the previous platform.

I have converted trading strategies from different platforms to NinjaTrader and ran into this problem. I ended  up creating NinjaTrader versions of a bunch of Tradestation indicators. Case in point,  this one is called Volatility in TradeStation.

Tradestation volatility is an indicator that measures the current volatility of the market. There are other measures of volatility , such as standard deviation.  It is different from things like standard deviation, in that it uses the high , low and close of a bar to calculate the volatility and not just the closing price like a standard deviation based indicator does.

You can click on the image to see a  huge image from Tradestation and compare it with the same indicator from the same timeframe on the image below.

TRADESTATION VOLATILITY INDICATOR FOR NINJATRADER

Note, that this is is a clone of the TradeStation indicator.  I got it as close as possible . This version of of the Volatility indicator matches the current TS version.

The original version in Tradestation, from the book ( See Reference Below ),  is now called VolatilityClassic. Like Coke Classic I guess.  I do think the current version is better than the original, in my humble opinion.

As you can see from the two images, they are very, very, similar.  No matter what you do, there will be small differences whenever you take an indicator from one platform to another. Such is life.

HOW TO USE THE INDICATOR

Volatility can be used in a couple of ways, the easiest would be the setting of stops. The more volatile the market, the further away you want your stops. Of course, this increases the risk. Another way is discretionary trading. Volatility sometimes reaches an extreme near the end of a move. A discretionary trader could use that to exit a trade.

DOWNLOAD NINJA TRADER VOLATILITY INDICATOR

I have put a banner ad up on the site for you to download this indicator when you sign up for the mailing list.  I do not send much on the mailing list, but I put any updates to my free indicators there so it is a good thing to be receiving when I update indicators.

If  the offer has expired, is because the free download has been cancelled, changed, folded , spindled or mutilated ( Just kidding ) .  I do rotate the free indicators, so if the offer is gone, AND you are on the mailing list, email me and I will see about getting you a copy.

Reference
Kaufman, P.J. The New Commodity Trading Systems and Methods.
John Wiley & Sons. New York 1980. Pages 99-101

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