Volatility Squeeze

fibonelli · Aug 13, 2007

Hi Lads and Lasses,

I'm currently doing a backtest using Bollies, Keltner and Donchian channels with the SMI and MA's. I'm aiming to code an indicator myself once I have established common characteristics.

I'm curious to know does anyone use:

i) John Carter's TTM Squeeze Indicator?
ii) An indicator similar to the TTM Squeeze?

How useful do you find using a volatility squeeze indicator?

I'm aware of head fakes!

Thank you

Fibonelli

jacinto · Aug 13, 2007

hi fibonelli,

look up a member called AKUMA. he has a rather interesting method based on bollingers. he also had a pdf (very professional document if you ask me) describing his method. worth a look

j

edit : here you go:

http://www.trade2win.com/boards/showthread.php?t=20279

fibonelli · Aug 13, 2007

jacinto said:
hi fibonelli,

look up a member called AKUMA. he has a rather interesting method based on bollingers. he also had a pdf (very professional document if you ask me) describing his method. worth a look

j

edit : here you go:

http://www.trade2win.com/boards/showthread.php?t=20279

Me has ayudado mucho!

altrade2win · Mar 25, 2008

Hey fibonelli, just been having a trawl through the net for posts on the squeeze indicator and came across this post. I've been looking at the various versions of the squeeze indicator (i.e. not the official one) and the crucial difference between them all is the histogram. Some seem to be based on momentum (sometimes smoothed) and MACD, others on donchian mid line and linear regression etc etc. So much so that they will suggest different entry directions on occasion.

Did you go down this road of investigation and if so did you come to any conclusions re. composition of the histogram?

The version I have uses Momentum and MACD but I'm looking at some variations with linear regression ... very early stages though.

Cheers,
Al

fibonelli · Mar 26, 2008

altrade2win said:
Hey fibonelli, just been having a trawl through the net for posts on the squeeze indicator and came across this post. I've been looking at the various versions of the squeeze indicator (i.e. not the official one) and the crucial difference between them all is the histogram. Some seem to be based on momentum (sometimes smoothed) and MACD, others on donchian mid line and linear regression etc etc. So much so that they will suggest different entry directions on occasion.

Did you go down this road of investigation and if so did you come to any conclusions re. composition of the histogram?

The version I have uses Momentum and MACD but I'm looking at some variations with linear regression ... very early stages though.

Cheers,
Al

Hi Al,

As you may have gathered, there's a cottage industry around reverse engineering John F Carter's squeeze indicator and histogram.

I have now programmed my own volatility squeeze (binary) indicator. I look at momentum separately.

HTH

altrade2win · Mar 26, 2008

Well they do say imitation is the sincerest form of flattery! Although, by most accounts Carter/TTM themselves took it from the Tradestation forums and commercialised it.

Anyway, I don't suppose you be interested in discussing your research on this at all? I'm afraid as I'm still wet behind the ears I can't offer much in terms of real trading experience, but I can offer youth and enthusiasm :cheesy:

Al

nine · Mar 26, 2008

Akuma99's thread is recommended above and does have an excellent document attached where he explains how and why he builds his indicator strategy.

What's even more interesting is that he's now trading price only (uses a trendlines and channels) having decided to drop the indicators.

altrade2win · Mar 26, 2008

Thanks nine, I read his doc yesterday and also had a look through his website talking about trading price only.

OxfordStrat · Aug 31, 2014

The backtest of the volatility squeeze on a large portfolio is here: http://www.oxfordstrat.com/trading-strategies/volatility-squeeze/

fibonelli said:
Hi Lads and Lasses,

I'm currently doing a backtest using Bollies, Keltner and Donchian channels with the SMI and MA's. I'm aiming to code an indicator myself once I have established common characteristics.

I'm curious to know does anyone use:

i) John Carter's TTM Squeeze Indicator?
ii) An indicator similar to the TTM Squeeze?

How useful do you find using a volatility squeeze indicator?

I'm aware of head fakes!

Thank you

Fibonelli

Vicorka · Sep 5, 2014

Try Bollinger Bandwidth - it was developed to spot volatility squeezes - about Bollinger Bandwidth

Historical Bollinger Bandwidth stock quotes could be taken from Bollinger Bands Calculator
if you want it for free just type a stock's symbol and bar period at the end of the URL in the following format: ?s=SPY&p1=14. See example below:
http://www.marketvolume.com/stocks/bollingerbands.asp?s=QQQ&p1=14

If you need to scan stocks that just had volatility squeeze ten you may check this stock filter

sk1105 · Sep 30, 2014

@OxfordStrat ... that's not the same squeeze the original poster is asking about. Carter's squeeze looks at the relationship between Bollinger and Keltner bands, and I am a big fan. Originally he used Momentum for his histogram but it really doesn't matter too much what you choose to use, so long as you test it out FOR YOURSELF. Pretty much all half-decent platforms will allow you to programme a custom indicator nowadays (eg. prorealtime for free) so just play around with different measures of directional bias, but maintaining the priciple of the Squeeze indicator, i.e. spotting when Boll's break out of Kelts.

Volatility Squeeze

fibonelli

Experienced member

jacinto

Senior member

fibonelli

Experienced member

altrade2win

Junior member

fibonelli

Experienced member

altrade2win

Junior member

nine

Senior member

altrade2win

Junior member

OxfordStrat

Newbie

Vicorka

Active member

sk1105

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