Volatility based entry filter in cross-checks robustness (re-tester)

Please add a volatility based (ATR) entry filter to "what if simulations" options under "cross-checks robustness" in re-tester module.

Rationale:
With an ATR entry filter, traders can check their system's performance during high/mid/low volatility periods. Most of systems I've built so far show a very strong dependency on the market volatility.  For example: by being able to exclude trades taken during a low volatility market, I can greatly improve system performance. Ideally, in the end I could build a portfolio with mixed 'low' and 'high' volatility systems.

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  • Votes +3
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

History

Kc
#1

coensio

20.12.2020 10:34

Task created

Kc
#2

coensio

20.12.2020 10:35
Voted for this task.
MM
#3

Michael_123

20.12.2020 14:55
Voted for this task.
b
#4

bentra

23.12.2020 19:49
Voted for this task.

Votes: +3

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