Statistical Volatility - Extreme Value Method Backtest — Strategy by HPotter
By HPotter
Performance Metrics
- Author: HPotter
- Symbol: CME_MINI:ES1!
- Timeframe: 5 minutes
- Net P&L: +362.50 USD (+0.36%)
- Win Rate: 45.2%
- Profit Factor: 1.058
- Max Drawdown: 3,175.00 USD (3.07%)
- Total Trades: 42
- Sharpe Ratio: 0.007
Description
This indicator used to calculate the statistical volatility, sometime called historical volatility, based on the Extreme Value Method. Please use this link to get more information about Volatility. You can change long to short in the Input Settings WARNING: - For purpose educate only - This script to change bars colors.