Spread bias adjusted Volatility

7 ก.ค. 2018

Will update

8 ก.ค. 2018

บันทึก

Volatility is divided by the spread between longs and shorts. This creates a defined function in areas of defined volatility and market position.

The BVOL24H variable is:

Stdev(Ln(P1/P0), Ln(P2/P1)... where Ln is the natural log (base e) of (price @ minute 2) divided by (price @ minute 1).

When volatility is high (returns have a higher variance):

(a) the function (blue) will be higher in areas where the market is net long, (indicated by the long-short spread). This could possibly be used to indicate bottom reversal points, as bottoms tend to have high volatility and a shifting of the market to become net long.

(b) the function will be lower when the market is net short and when volatility slows.


This is just another picture of the market and in no way is intended to be an indicator or trading advice.

29 ก.ค. 2018

บันทึก

Currently, the function is quite low, at a level that is mostly present around tops or in extended down tends.

10 ส.ค. 2018

บันทึก

For whatever reason, BVOL24H/(BTCUSDLONGS/BTCUSDSHORTS) is very high just now. Volatility is back and I suspect a short squeeze may occur pushing past the recent highs. This is just speculation and still trying to figure out if anything can be interpreted from this.