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Strategy Code for Pre Market Volatility Filtering in Algorithmic Day Trading

In this video, we discuss the simple code that could be added to a strategy to implement pre-market volatility filtering in algorithmic day trading.


We look at three different volatility filters:

1.) Pre-Market Range (at 9:30 am EST)

2.) Zig Zag Count (at yesterdays close)

3.) CVIX (at yesterdays close)


We want to trade steady state market conditions most of the time and prefer to sit on the sidelines during the extremes. These are some ways that it can be done. We look at the latest Sibilance NQ v24 results if we apply the pre-market volatility filter.


We show the results in our Portfolio Calculator Web App as well: https://portfoliometricsv2.onrender.com/


The Web App has the latest results for today 04/16/2025 for a short list of the portfolios, with some additional strategies added today.


There will be verification before we post the Daily Results this evening.

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