The Volatility Quality Index can help you identify better trade opportunities by distinguishing between good and bad volatility. Formula for the system discussed in Advanced Strategies (p. 56) / August 2002 Active Trader Magazine.
On the internet I found two different versions of this indicator.
So I added the both algorithms.
If someone has the original specification would ask him to forward it to me,
Algorithm One
If TrueRange <> 0 and (High - Low) <> 0 Then
VQI = ((Close - Close[1]) / TrueRange + (Close - Open) / (High - Low)) * 0.5
Else
VQI=VQI[1];
VQI = AbsValue(VQI) * ((Close - Close[1] + (Close - Open)) * 0.5);
End
Algorithm Two
VQI:=If(ATR(1)<>0 AND (H-L)<>0, ((C-Ref(C,-1)/ATR(1)) + ((C-O)/(H-L)))*0.5,PREV);
VQI:=Abs(VQI)*((C-Ref(C,-1)+(C-O))*0.5);
- VQI.lua
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The indicator was revised and updated