The VolSwitch strategy is based upon the Volatility Switch study in combination with such indicators as Relative Strength Index (RSI) and simple moving average (SMA). If the Volatility Switch indicates a trending mode of market, a Buy signal is given when the close (or another price specified in inputs) crosses above its SMA, and a Sell signal is given when it crosses below. If the market is in mean reversion mode suggested by the study, the Buy signal is indicated when the RSI crosses above the oversold level, and, vice versa, the Sell signal is indicated when it crosses below the overbought level.

Input Parameters

Parameter Description
price Defines price in Volatility Switch, SMA, and RSI calculations.
length Defines the period used in Volatility Switch calculation.
average length The number of bars used in calculation of the SMA.
rsi length The number of bars used in calculation of the RSI.
rsi overbought level Defines the overbought value for the RSI.
rsi oversold level Defines the oversold value for the RSI.
rsi average type

The type of moving average to be used in calculations: simple, exponential, weighted, Wilder's, or Hull.

Further Reading

1. "The Volatility (Regime) Switch Indicator" by Ron McEwan. Technical Analysis of Stocks & Commodities, February 2013.