Thursday, December 10, 2015

M1 Volatility Model Progress....12.10.15

We're chugging along with improvements to the volatility model including 3 algorithms (ATR, SKEW and Median) that track both 30 day volatility using a spectrum of metrics.  I generally favor a visual data display and have used pattern recognition for years to gauge market odds.
Looking at the 3 lower new volatility based charts within the M1 dashboard we can quickly see that both the ATR and the PCL (previous close to today's low) are increasing.
The third chart on the lower right has a more benign pattern, displaying a mere .76% delta for the median day open to close range. The obvious conclusion is that the big action occurs overnight and this helps us to craft the limit stops accordingly since we now know the likely intraday range swing.  
M1 is still a work in progress but these latest metric additions will facilitate gauging the stop odds.