HAPISTVOL
Standard Deviation for current volume
HAPISTVOL
Purpose: Measures statistical volatility to identify high or low volatility regimes, aiding in risk management and trade timing for futures traders.
Description:
- Analyzes volatility using proprietary statistical methods, leveraging NinjaTrader 8’s STDEV indicator (or Fari’s custom metrics) to track market dynamics.
- Applied on volume charts (e.g., 10K volume) to capture institutional block trades, reflecting “big trader” entries and exits more accurately than time-based charts.
- Our system uses 40% of the STDEV for stop placement; e.g., STVOL of 10 requires a 4-point stop, while STVOL of 20 requires an 8-point stop.
- Example: A low STVOL of 10 suggests a tighter stop, ideal for low-volatility trade entries.
NinjaTrader Use:
- Plotted as a volatility indicator in a NinjaTrader subgraph, using STDEV with 12.5/25 lines for short- and long-term volatility analysis.
- Tailored for volume charts (e.g., 10K volume) to align with institutional trading footprints.
- Integrates with RadarScreen to scan for volatility shifts across instruments.
- No user inputs required; automatically adjusts to volume-based data.
Practical Example:
- In an extreme example, on April 4, 2025, ES futures on our 10K volume chart, HAPISTVOL showed a reading of 37.61 with price at 55096.75.
- A trader will typically require a 15 point stop (40% of STVOL).
- A trader can choose to modify risk by abstaining from trading, accepting smaller stop sizes like an arbitrary “5 point stop”, or waiting until volatility subsides to a more acceptable level.
