Historical Volatility Strategy Backtest by HPotter
By HPotter
Performance Metrics
- Author: HPotter
- Symbol: CME_MINI:ES1!
- Timeframe: 1 day
- Net P&L: +53,300.00 USD (0.00%)
- Win Rate: 85.7%
- Profit Factor: 2.63
- Max Drawdown: 59,362.50 USD
- Total Trades: 14
Description
Strategy buy when HVol above BuyBand and close position when HVol below CloseBand. Markets oscillate from periods of low volatility to high volatility and back. The author`s research indicates that after periods of extremely low volatility, volatility tends to increase and price may move sharply. This increase in volatility tends to correlate with the beginning of short- to intermediate-term moves in price. They have found that we can identify which markets are about to make such a move by measuring the historical volatility and the application of pattern recognition. The indicator is calculating as the standard deviation of day-to-day logarithmic closing price changes expressed as an annualized percentage. Please, use it only for learning or paper trading. Do not for real trading.