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They say generals always fight the previous war. Let's suppose the S&P
goes into a new extended (>6 months) mode--flat/choppy, bear market etc.
Many S&P day trade systems have been developed in the last 10 years with
advance of cheap computing, SystemWriter, TradeStation etc. Are we
(actually I'm asking myself) 1)bull market dependent and 2) volatility
junkies.
When I try my currently successful day trading systems on 1994 data,
they tank. That was a down//zigzag year. I decided to look at
volatility defined as Range/Close over the last decade for S&P
continuous contract. As follows:
1-99 1.96
1-98 1.72
1-97 1.48
1-96 .66
1-95 .70
1-94 .55
1-93 .64
1-92 .82
1-91 .22
1-90 .70
This may suggest trend or volatility filtering or different class of
system--e.g., trend followning, oscillators, etc.
Thoughts, observations, suggestions?
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