Strategy Test 1 : Using Relative Volatility Index and Historical Volatility

This is a study carried out to test the effectiveness of using RVI and HV as trading signals

Duration: October – Dec 2015

Instrument: HSI warrants

Indicators used

  • 1 & 4 hr moving average
  • HV 60mins period as confirmation
  • HV 30mins period as indication
  • RVI stddev 30, EMA 60

Trade setup comes with a pre-trade indication of HV30 showing direction, trade signal confirmation when HV60 shows and confirmed the direction of volatility as shown by HV30. RVI should be strictly opposite direction to HV before taking on the trade.

Long Trade Setup : HV30 followed by HV60 on down trend, RVI on uptrend. Pinpoint entry at the retracement of RVI

Short Trade Setup : HV30 followed by HV60 on uptrend, RVI on downtrend, Pinpoint entry at the rebound

Conclusion that I want to be able to draw:

  1. which time interval should I be using for each of the indicator
  2. Can I do away with one of the indicator
  3. which indicator is more reliable?
  4. How can I incorporate 1 and 4 Hr MA into the trading setup selection
  5. is there an actual use for AUS and China and US future charts?
  6. time when i should be looking to start and time duration that i should avoid
  7. what time frame after HV60 should I go in to take the trade