Three Volatility Filters for E-mini Nasdaq Futures Trading Systems
- Capstone Trading
- Apr 14
- 2 min read
With unprecedented high levels of volatility based on our intra-day measures for recent price action, there has been extensive research on three different volatility filters that can be applied to our trading systems portfolio as an overlay. The Portfolio Calculator has been updated to use these filters. We discuss how to use the filters and the results of applying them.
The three volatility filters include:
1.) CVIX < 1.0 - based on last value from previous day (4:15 pm EST)
2.) Zig Zag Count < 25 - based on last value from previous day (4:15 pm EST)
3.) Pre-Market Average Range of last 120 minute bars - based on right up to the current days open (9:30 am EST)
We show how to filter the results for these in the Portfolio Calculator.
Last week we issued Automation Mode Off on 4 out of 5 days based on a combination of the CVIX and Average Range as well as notifications of limited day trade margins from futures brokers. We are working on quantifying this to a greater level of detail in this research. This is the first of several posts that will outline the volatility filtering research.
The Portfolios in the Calculator are at a good entry point including:
Two System Portfolio
Four System Portfolio
These Portfolios are available to individual subscribers and can also be traded for you through a registered broker.
We discuss the measure of unprecedented volatility and churn that we use since intra-day churn and volatility in the market is not always captured by the VIX. Algorithmic day traders need more information and indicators in order to get a realistic picture of the intra-day price action.
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