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Mark, O.K, I understand. Will watch this. What threw me for a loop was that my own
channel breakout system for big caps stopped working because of the drop in volume
of the MARKET (after the big drops in markets about a month ago, when institutions
got scared off, block trades started to drop). Nothing to do with prices being
above/below/between widely followed moving averages (eg. 50/200). But I guess
that's one of the advantages for those who trade futures (better liquidity and a
range of commodities etc. to trade not all subject to dominant cycles of sentiment
in the big contracts/indexes that infect other markets/commodities).
Mark Brown wrote:
> Hello Dirk,
>
> I think for strictly mechanical trading system channel breakouts, with
> filtering are fine. However the reason for this study was not to have
> a mechanical system. But rather it was created so that I could
> better statistically trade selling options on both sides of the
> markets. This study helped me have a statistical understanding of
> what the odds were in my favor or against me. How much heat would I
> have to endure, if I was wrong. And if I was correct how long could
> I expect it to last? While this is not a system, I do believe
> over time you will learn to respect it, if you watch it.
>
> DdV> Do channel breakout systems perform better or worse depending on volume?
>
> Of course a perfect world average volume of the best for the entry of
> channel breakout system. With ever increasing volume as a trade
> progresses in your direction. More often than not, enthusiasm
> leaves shortly after the breakout. Leaving hopeful traders out to
> dry.
>
> DdV> My own channel breakout sys that I use on big caps breaks down when avg
> DdV> volume on NYSE falls below its 50 day moving average, and esp below 200
> DdV> day moving avg (as per right now). This might apply to SPY (ie. the
> DdV> exchange traded fund for SP500) right NOW but not on AVERAGE. This happens
> DdV> to my channel breakout system even though it trades short quite often as
> DdV> well.
>
> It sounds as though you have understanding of market participation in
> the pitfalls of the system which is based strictly on price movement.
>
> --
> Best regards,
> Mark Brown mailto:markbrown@xxxxxxxxxxxxx
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