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Might try the CRB Index cash or futures traded on the NYFE. Indicates the
over-all futures market.
Robert
At 12:57 PM 1/16/01 -0800, Monte C. Smith wrote:
> A friend writes:
>
> I'm trying to write code for a volatility filter which will work for a
>portfolio of futures. For
>example: the following is the 10 day average true range as of close
>1/12/01: Natural gas = 0.661 or $6,610, corn = 3.69 or $184.50, crude
>oil = 1.05
>or $1,050, japanese yen = 0.0073 or $912.50 and ten year notes = 0.7694
>or $769.40. The concept is to trade within a range of volatility, if the
>volatility is too high or low, the system will not trade. The problem is
>bringing the code to a single standard. Any help with this is greatly
>appreciated.
>
>Thanks,
>Monte
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