Daily Risk Ranges

12 בספט׳ 2020

This indictor creates daily Risk Ranges using historical volatility, volatility skew and vol-of-vol.

12 בספט׳ 2020

הערות שחרור

Bug fixes

12 בספט׳ 2020

הערות שחרור

I changed the code to use Cornish-Fisher approximation to define the skew of the range using the volatility skew and kurtosis. I also changed the volatility parametre to respond quicker to increases in volatility than decreases in volatility to avoid paying the price for hidden volatility.

16 בנוב׳ 2020

הערות שחרור

Implementing DCA with MA

16 בנוב׳ 2020

הערות שחרור

What happens she you don't check ma box