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[PLUS] Combining NR4 Inside Days & Historical Volatility to Produce Trading Signals



Strategy Description
Described in the book "Street Smarts: High Probability Short-Term Trading Strategies" by Laurence A. Connors and Linda Bradford Raschke, this strategy is an extension of the NR4 Contraction Momentum Trading Setup that we covered previously. The biggest difference is that historical volatility is used as a filter on the day. Specifically, the 6 day realized volatility is compared as a ratio to the 100 day realized volatility, and if below a certain threshold, a condition is satisfied. Then the strategy uses NR4 identification to wait for a momentum breakout in either direction.

Strategy Rules and Conditions
  • Historical volatility ratio of 6period to 100period is less than 0.50 (50%)
  • Inside Range day and smallest range day out of the last 4 must occur
  • Breakouts happen above the NR4 day's high or below the low on the following day


  • The Code
    This code loads historical Bitcoin trading data from Binance using CryptoDataDownload, and applies a technical trading strategy. It calculates short-term (6-day) and long-term (100-day) realized volatilities, and forms a ratio to create a volatility indicator. The script identifies the smallest daily price range in the last four days and detects 'inside days' where the price range is within the previous day's range. Combining these factors, it generates buy and sell signals based on volatility and price range conditions. Finally, the processed data, along with the signals, is saved to a CSV file for further analysis. All code (EVERY LINE) is fully commented! Feel free to modify to fit your purpose

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    Notice: Information contained herein is not and should not be construed as an offer, solicitation, or recommendation to buy or sell securities. The information has been obtained from sources we believe to be reliable; however no guarantee is made or implied with respect to its accuracy, timeliness, or completeness. Author does not own the any crypto currency discussed. The information and content are subject to change without notice. CryptoDataDownload and its affiliates do not provide investment, tax, legal or accounting advice.

    This material has been prepared for informational purposes only and is the opinion of the author, and is not intended to provide, and should not be relied on for, investment, tax, legal, accounting advice. You should consult your own investment, tax, legal and accounting advisors before engaging in any transaction. All content published by CryptoDataDownload is not an endorsement whatsoever. CryptoDataDownload was not compensated to submit this article. Please also visit our Privacy policy; disclaimer; and terms and conditions page for further information.

    THE PERFORMANCE OF TRADING SYSTEMS IS BASED ON THE USE OF COMPUTERIZED SYSTEM LOGIC. IT IS HYPOTHETICAL. PLEASE NOTE THE FOLLOWING DISCLAIMER. CFTC RULE 4.41: HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN. U.S. GOVERNMENT REQUIRED DISCLAIMER: COMMODITY FUTURES TRADING COMMISSION. FUTURES AND OPTIONS TRADING HAS LARGE POTENTIAL REWARDS, BUT ALSO LARGE POTENTIAL RISK. YOU MUST BE AWARE OF THE RISKS AND BE WILLING TO ACCEPT THEM IN ORDER TO INVEST IN THE FUTURES AND OPTIONS MARKETS. DON’T TRADE WITH MONEY YOU CAN’T AFFORD TO LOSE. THIS IS NEITHER A SOLICITATION NOR AN OFFER TO BUY/SELL FUTURES OR OPTIONS. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE DISCUSSED ON THIS WEBSITE. THE PAST PERFORMANCE OF ANY TRADING SYSTEM OR METHODOLOGY IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

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