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Historical volatility regimes

by QuantShare, 5523 days ago
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This mask transforms one rule into 5 rules. It adds to your rules a volatility constraint.

Let's for example say that your rule is: close > sma(close, 20).
The mask will generate 5 rules from the above rule:
Rule 1: Original rule + security volatility must be lower than 10%.
Rule 2: Original rule + security volatility must be between 10% and 30%.
Rule 3: Original rule + security volatility must be between 30% and 60%.
Rule 4: Original rule + security volatility must be between 60% and 100%.
Rule 5: Original rule + security volatility must be higher than 100%.

The volatility that is used in this mask is the annualized volatility. It is the standard deviation of the logarithmic daily returns divided by the square root of (1 / 252). 252 is the estimated number of trading days in a year.

This mask is used by the example provided in the following article:
Rules performance for different volatility regimes


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Type: Rules Mask

Object ID: 157


Country:
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Market: Stock Market

Style:
Technical Analysis

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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.