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Hi Philip
Yes volatility is important ... The TASC Nov. and Dec. article talked about
outliers that had implications on trading one share. Let alone 1,000 or
5,000 shares on margin.
Market and structural inefficiencies that offer opportunities exist both
with stable distributions (i.e., non-Gaussian) and with very very low
volatility tradeables. I have seen systems that exploit both. Most traders
usually read the options literature to begin to develop insights and to look
for inefficiencies in these areas.
Best regards
Walter
----- Original Message -----
From: "Philip" <pschmi02@xxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Tuesday, December 14, 1999 8:33 PM
Subject: Re: Volatility
| > Volatility is the most valuable thing I look at. I recall that some
Market
| > Wizards speak very highly of it also.
| > For a simple example, Let's say you beleive that markets swing from low
to
| > high vol (not to difficult), then placing entry stop orders either side
of
| > vol bands, should get you set for a big move either way.
|
| I wish you'd explain this in greater detail. (I'll even say "Please."
<g>)
| Not sure I understand exactly what you mean by "placing entry stop orders
| either side of vol bands." Sorry to be slow. Do you mean placing the
orders
| outside the top/bottom band, for a breakout, or outside the top/bottom
band for
| a return trip?
|
| It seems that a price which falls outside of the 2nd StDev is relatively
| uncommon, right? So if such an event occurs, aren't the chances pretty
good
| that you won't get another one right away. On the other hand, every so
often a
| price event occurs "out there" and it continues, it stays there. Voila!
The
| successful breakout.
|
| Based on your observations, can you (better phrased perhaps as 'would you
be
| willing to') discuss what characterizes a good volatility breakout as
opposed
| to a poor one? In other words, what does price action have to look like
to
| warrant trading a continuation of the move in the direction of the
breakout, as
| opposed to fading it? This is a money maker, folks.
|
| Let me also address a question to Walter Lake. Forgive me if I'm
mistaken, but
| wasn't it you who (about 10-12 days ago) spoke of 3 or 4 sigma events that
| could really make money -- or have the opposite effect! Does my memory
serve
| me well? I remember thinking at the time "Hmm, Walter has probably given
this
| topic some careful thought." I'd be really grateful if you would comment.
|
| Philip
|
| > But as always, entry is only the tip of the icecream.
|
| >
| > IMHO - The best indicators are Stdev and ATR.
| >
| > Michael Samerski
| > Metronome Trading Systems Pty Limited
| > email : michael@xxxxxxxxxxxxxxxxxxxxxxxx
| > www : http://www.metronome-trading.com.au
| > <http://www.metronome-trading.com.au/>
| >
| >
| >
| > -----Original Message-----
| > From: Theo E.M. Lockefeer [mailto:sky40912@xxxxxxxxx]
| > Sent: Tuesday, 14 December 1999 21:09
| > To: Metastock User Group
| > Subject: Volatility
| >
| > Can someone give his views on Volatility :
| >
| > Succesfull systems implemented ? Which are good Volatility indicators
?
| >
| >
| >
| > Thx
| >
| > Theo
|
|