HV ID/ND4 Breakout

2019年6月15日

This indicator is based on Linda Raschke's ID/ND4 Historical Volatility Breakout strategy. It finds days where the high and low are within the previous day high and lows (Inside days), that have also, the narrowest trading range within the last 4 days (it basically checks if the current day has the narrowest range comparing it with the previous 3 days) when the short term historical volatility (6 period default) is relatively low compared to the longer term historical volatility (100 period default) (The condition is that the 6/100 Historical volatility is below 50% of its annual range).

More information about how to trade this strategy is described in the book but basically, you would want to place a resting buy and sell stops at the high and low of the day highlighted and enter if you get filled the next day.