High Low Volatility Estimator
- Indicadores
- Roberto Spadim
- Versão: 1.2
- Atualizado: 15 abril 2019
- Ativações: 5
This indicator implements the High Low Volatility Estimator based on Advances in Financial Machine Learning 2018 - Marcos Lopez de Prado, page 284. It's a robust estimator using High/Low values from past bars (configurable). It's robusto to Gaps (open/close of days to stock markets) since it's using high/low ration and not the close price.
It's interesting when you need to avoid trading at a specific level of volatility