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Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

Trend-following strategy that dynamically adjusts for changing volatility

Let's use STDEV as a measure of volatility and adjust the trend-following strategy to adapt to changing market volatility. We will use an identical approach to the one we used when adjusting the mean reversion trading strategy for market volatility.

The main trading logic for the trend-following strategy adjusted for market volatility looks like the following. Let's start with the trading logic that controls sell trades first:

  # This section checks trading signal against trading parameters/thresholds and positions, to trade.  # We will perform a sell trade at close_price if the following conditions are met: # 1. The APO trading signal value is below Sell-Entry threshold ...
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Publisher Resources

ISBN: 9781789348347Supplemental Content