A good volatility measure
It’s interesting to know, what types of volatility do you use in your algorithms. I know 2 main types in tech analyse – using standard deviations and using ATR indicator. But stdev is a bad volatility measure, ATR so often overrate the volatility level. Who know other volatility measures?
I use fractal dimension of the time series. I’ve posted some code to estimate it from an arbitrary time series.
Results in option pricing (SP500 Calls):
NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!