---
title: Volatility Change Index Filter
description: "  [![](https://portfolioboss.com/wp-content/uploads/2019/10/Volatility-Change-Index-Filter-Buy.png)](https://portfolioboss.com/wp-content/uploads/2019/10/Volatility-Change-Index-Filter-Buy.png) [![](https://portfolioboss.com/wp-content/uploads/2019/10/Volatility-Change-Index-Filter-Sell.png)](https://portfolioboss.com/wp-content/uploads/2019/10/Volatility-Change-Index-Filter-Sell.png)   This filter is similar to the [\"Volatility Change Position Filter\"](https://portfolioboss.com/documentation/volatility-change-position-filter/), in that it looks for the *percentage change* in volatility (decreasing or increasing) for the past certain period, but instead of instruments, this filter looks at…"
url: "https://portfolioboss.com/documentation/volatility-change-index-filter/"
updated: "2023-01-14"
category: "Chapter 7 - Filters & Rules"
---

# Volatility Change Index Filter

 

[![](https://portfolioboss.com/wp-content/uploads/2019/10/Volatility-Change-Index-Filter-Buy.png)](https://portfolioboss.com/wp-content/uploads/2019/10/Volatility-Change-Index-Filter-Buy.png)

[![](https://portfolioboss.com/wp-content/uploads/2019/10/Volatility-Change-Index-Filter-Sell.png)](https://portfolioboss.com/wp-content/uploads/2019/10/Volatility-Change-Index-Filter-Sell.png)

 

This filter is similar to the ["Volatility Change Position Filter"](https://portfolioboss.com/documentation/volatility-change-position-filter/), in that it looks for the *percentage change* in volatility (decreasing or increasing) for the past certain period, but instead of instruments, this filter looks at an *index's* volatility change.

If the index's volatility increases/decreases more than a certain percentage during the specified period, then you're allowed to enter (or exit) Positions. Essentially, this filter allows you to look at the *implied* market volatility.

For example, if the market is becoming more volatile, then you may trade your Portfolio as the potential for profit is greater (but beware of risks), and vice versa.

 

---

 

**1.**  The first parameter defines the period to look for such *volatility change* in the index. Let's say you want to see *how much* the index's volatility has changed in the past one month, then enter "1 month" here.

 

[![](https://portfolioboss.com/wp-content/uploads/2019/10/Volatility-Change-Index-Filter-1st-Param.png)](https://portfolioboss.com/wp-content/uploads/2019/10/Volatility-Change-Index-Filter-1st-Param.png)

 

---

**2.**  The second parameter defines the *index* whose volatility is the yardstick for considering instruments. Obviously, the index must be correlated to your Portfolio.

 

[![](https://portfolioboss.com/wp-content/uploads/2019/10/Volatility-Change-Index-Filter-2nd-Param.png)](https://portfolioboss.com/wp-content/uploads/2019/10/Volatility-Change-Index-Filter-2nd-Param.png)

 

You can also input any instrument here (usually ETF) that may benefit your strategy. Keep in mind, you shouldn't enter a delisted instrument here (indicated by square brackets suffix containing a number); otherwise a warning is given and you can't backtest the strategy:

 

![](https://portfolioboss.com/wp-content/uploads/2023/01/vfytudr56se5b6the_00000.png)

 

---

**3.**  The third parameter defines whether the index's volatility must "Increase more than" or "Decrease more than" the threshold *percentage change* during the specified period.

 

[![](https://portfolioboss.com/wp-content/uploads/2019/10/Volatility-Change-Index-Filter-3rd-Param.png)](https://portfolioboss.com/wp-content/uploads/2019/10/Volatility-Change-Index-Filter-3rd-Param.png)

 

---

**4.**  The fourth parameter defines the *threshold percentage change* of the index's volatility.

 

[![](https://portfolioboss.com/wp-content/uploads/2019/10/Volatility-Change-Index-Filter-4th-Param.png)](https://portfolioboss.com/wp-content/uploads/2019/10/Volatility-Change-Index-Filter-4th-Param.png)

 

---

 

#### Note:

 

Two indicators will be applied *below* the Price Chart once this filter is applied. One indicator shows the index's volatility during the specified period, while the other indicator shows that volatility's *percentage change*.

 

[![](https://portfolioboss.com/wp-content/uploads/2019/10/Volatility-Change-Index-Filter-Indicator.png)](https://portfolioboss.com/wp-content/uploads/2019/10/Volatility-Change-Index-Filter-Indicator.png)

 

 

 

 

 

[**Back to Top**](https://portfolioboss.com/documentation/volatility-change-index-filter/#backtotop)