Volatility / True Range Adjusted RSI

[ccsli 10]

Most traditional indicators have a specific look back period, for example traditional RSI usually has a look back period of 14.

 

Volatility in the market or stocks changes all the time, and in fast market really we need a shorter look back period for these lagging indicators to react fast enough to the market.

 

Has anyone look into coding a volatility adjusted momentum indicator?

 

Any hints would be appreciated.

 

Calvin

[zdo 20]

ccsli,

What measure of volatility do you want to use?

zdo

[ccsli 10]

I am thinking of Average True Range.

 

I am using Jurik RSX and find it reasonably good. If I can adjust RSX to volatility so it reacts faster when the volatility is high, then it should be a even better tool.

 

Happy to share my strategy if you would like to find out more. Thanks