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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

Adjusting for trading instrument volatility in trading strategies

We can apply the same concepts of adjusting for volatility measures to trading strategies. Momentum or trend-following strategies can use changing volatility to dynamically change the time period parameters used in the moving averages, or change the thresholds for how many up/down days to count as an entry signal. Another area of improvement would be using changing volatility to dynamically adjust thresholds on when to enter a position when a trend is detected, and dynamically adjust thresholds on when to exit a position when trend reversal is detected.

For mean reversion based strategies, applying volatility measures is pretty similar. In this case, we can use dynamically ...

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Publisher Resources

ISBN: 9781789348347Supplemental Content