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Volatility System is a tool designed by J. Welles Wilder.
It is a trend following System.It is also a reversal system which means that the position is reversed at every stop.
The Volatility System is based on range or the TRUE Range which can be defined as follows:
1) The distance from today's high to today's low.
2) The distance from yesterday close to today's high,or
3) The distance from yesterday close to today's low.
The Volatility System is designed to pick up and hold on the long term moves.
By selecting Close instead of Price,the theory is that sometimes the price during a days trading may penetrate the price (stop) but not close through it.This would have the effect of not reversing your position.
When I stated this System 3 days ago I said the price needed not to close below 11830 and in fact the market hit 11835 and the System call
for that day was 11835. The next day the System was 11870, the market hit 11880 and close at 11940. Now for Monday the System calls for 11920.
So if Monday the close is below 11920, the System will call for a good reversal projecting at least the 11200 area.