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Scanning for NR4/IB Volatility Setup

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Larry Swing President of mrswing.com

Larry Swing is the President of the popular day and swing trading site www.mrswing.com a place where you can find free daily articles and videos covering education, market analysis and picks from Larry and other well known traders in the industry.

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Dec 18, 2006 - this scan searches for quiet periods in the market when volatility has decreased significantly...

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If ever there was a combination of market indications that a major move was upon us � it has to be the Historic Volatility Ratio also known as �HVR� combined with a NR4/IB.

The HVR is basically a mathematical measuring of how much a price in a market has moved over a specified period of time. It�s the ratio or percent of a short to a long average historic volatility. When a markets short volatility declines below a certain percent of its long volatility it�s a heads up signal that an explosive move could be seen.

The standard settings used are both a 10/200 and 5/200 HVR with a 25% ratio. The 25% ratio will be your trigger point. Which means if either or both the 10/200 and 5/200 declines below 25% in any market, that market should be looked at for potential trades as a sharp move could be seen.

VOLAT5/ VOLAT200 <= 0.10 AND VOLAT10 / VOLAT200 <=0.25 AND MAV20 >=200000   AND CLOSE>7  AND (high3-low3)>(high2-low2) AND (high2-low2)>(high1-low1) AND (high1-low1)>(high-low) AND low>low1  AND high<high1

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by Larry Swing
CEO & Head Swing Trader

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