About volatility

There is one big realization that came to be lately: market can have an ordinary volatility and extra-ordinary volatility and its behavior is totally different among them. Ordinary volatility can be higher or lower, and price generally follows market structure fundamentals, you can plan stops and take profits adjusted to the volatility and trade same strategy. However, during extra-ordinary volatility, there is pretty much no market structure to anchor to, trading strategies aimed to ordinary volatility times perform badly and, unlike ordinary volatility times when markets are fractal and repetitive, extra-ordinary volatility markets are one-off events, providing almost unique price action every time, making it very difficult to trade with any structure-concision strategy (pullbacks, consolidations, breakouts, etc), and the only choice is hoping to ride momentum.

So the revelation is, if you limit your trading to the ordinary volatility markets and learn to by-pass extra-ordinary volatility market, you will do very well.

Talking about ordinary volatility. I have found out, that it is very well worth it to trade less volatile market state from lower time frame, and more volatile market state (still orderly market) from higher time frame. Currently I use 30 second and 3 minute time frame for trading. I use ATR(20) to determine volatility. Anything above 6 points on 30 seconds makes me stop trading (as stop will be above 7 points) it and wait either to have market to calm down, or to get an entry from 3 minute time frame off its market structure. Same time I won't take a trade off 3 minute frame is low volatility market, let's say if ATR(20) on 3M is less than 10 points. Because while it still likely to work, there is no sufficient reward potential to justify trading off this timeframe, so it is better to focus on smaller time frame. Since I had automated entry detection, I have filters that let out unsuitable conditions for each time frame.