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The Volatility Index (VI) is described by Wilderas:
VI Today = (13 * VI Prev + TR1) / 14 *where TR1istoday's true range.
He defines the true range as the greatest of the following:
1.The distance from today's high to today'slow
2.The distance from yesterday's closeto today'shigh, or
3.The distance from yesterday's closeto today'slow.
In MetaStock version 6.0 or higher you would use the Prev function and
a one period Average True Range to construct the Volatility Index. The
custom formula is written as:
Volatility Index
(13 * Prev + ATR(1)) / 14
Wilder Volatility Index Trading System
Enter Long
Cross(C,Ref(LLV(C,7),-1)+(Ref(ATR(7),-1)*3))
Enter Short
Cross(Ref(HHV(C,7),-1)-(Ref(ATR(7),-1)*3),C)
I'm looking for some filters and stop loss formulas for this system to
improve it have anyone any idea?? Have anyone used this system if yes
could you post your opinion.
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