Created by J. Welles Wilder, Volatility Stop, also known his Volatility System, is an ATR based indicator used to determine trend direction, stops, and reversals. It is similar to Wilder’s Parabolic SAR and SuperTrend. [Discuss] 💬
// usage IEnumerable<VolatilityStopResult> results = quotes.GetVolatilityStop(lookbackPeriods, multiplier);
int - Number of periods (
N) ATR lookback window. Must be greater than 1. Default is 7.
double - ATR multiplier for the offset. Must be greater than 0. Default is 3.0.
Historical quotes requirements
You must have at least
N+100 periods of
quotes to cover the convergence periods. Since the underlying ATR uses a smoothing technique, we recommend you use at least
N+250 data points prior to the intended usage date for better precision. Initial values prior to the first reversal are not accurate and are excluded from the results. Therefore, provide sufficient quotes to capture prior trend reversals.
quotes is a collection of generic
TQuote historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.
- This method returns a time series of all available indicator values for the
- It always returns the same number of elements as there are in the historical quotes.
- It does not return a single incremental indicator value.
- The first trend will have
nullvalues since it is not accurate and based on an initial guess.
⚞ Convergence warning: The first
N+100periods will have decreasing magnitude, convergence-related precision errors that can be as high as ~5% deviation in indicator values for earlier periods.
DateTime - Date from evaluated
double - Stop and Reverse value contains both Upper and Lower segments
bool - Indicates a trend reversal
double - Upper band only (bearish/red)
double - Lower band only (bullish/green)
LowerBand values are provided to differentiate bullish vs bearish trends and to clearly demark trend reversal.
Sar is the contiguous combination of both upper and lower line data.
See Utilities and helpers for more information.
Results can be further processed on
Sar with additional chain-enabled indicators.
// example var results = quotes .GetVolatilityStop(..) .GetEma(..);
This indicator must be generated from
quotes and cannot be generated from results of another chain-enabled indicator or method.