Portfolio Boss Documentation

Volatility Range Percentile Index Filter

 

 

This filter looks at an index's volatility, and if such volatility is greater (or less) than the volatility of N% instruments within the strategy, then you're allowed to enter or exit Positions.

For example, you are only willing to trade if the SPX's volatility is greater than the volatility of 80% instruments (80% of all instruments within the strategy). So at least there are 80% instruments whose volatility is lower than the SPX.

 

 

(Note: The diagram above is for illustration purposes only, as SPX rarely reached above 80% volatility)

Another example: You will trade only if there are at least 20% of all instruments whose volatility is greater than the SPX.

 

This filter has many exotic uses depending on your trading strategy.

For example, if the market is highly unstable, then you want to make sure that at least 80% of your Portfolio is less volatile than the market. Or the reverse, if you want to play high risk trading (thus a greater chance of beating the index), then make sure at least 80% of your Portfolio is more volatile than the index.

You can also use it as a Sell Filter for limiting risks, for example: if 80% or more of your Portfolio is more volatile than the index, then get out of all Positions, etc.

 


 

1.  The first parameter defines the period to look for the volatility of both the index and the instruments.

 

 


 

2.  The second parameter defines what index to use.

 

 


 

3.  The third parameter defines whether the index's volatility must be “Less than”, “Greater than”, “Between”, or “Not between” the threshold percentile value(s) for the instruments to be considered.

 

 

 


 

4.  The fourth parameter defines the threshold percentile value. 

 

 

Remember, this is percentile, not percentage.

So for example, if the index's volatility must be “Greater than” the 80th percentile, then at least 80% of all instruments fall below the index's volatility (could be more than 80%, but not less).

Another example, if the index's volatility must be “Less than” the 80th percentile, then at least 20% of all instruments have higher volatility than the index (could be more than 20%, but not less).

This parameter has a range of value from 0 to 100 (nothing fractional or negative).

 


 

Note:

 


Once this filter is applied, there's a Volatility indicator displayed below the Price Chart. This is the instrument's Volatility indicator, not the index.

 

 

 

 

 

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