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What's the best way to adjust for volatility dynamically?
Monte
"M. Simms" wrote:
>
> Really good (and complex) systems measure and adjust for volatility
> dynamically.....
> others use PARMS and do it STATICALLY and initialize from a back-test
> period....
> and then change the parms via forward-testing techniques when the market's
> "change".
>
> > -----Original Message-----
> > From: Monte C. Smith [mailto:mcs@xxxxxxxxxxx]
> > Sent: Wednesday, November 22, 2000 4:44 PM
> > To: omega-list@xxxxxxxxxx
> > Subject: Volatility Filters
> >
> >
> >
> > I'm interested in a system that will trade several commodities, not
> > just one. The problem is they all exhibit very different volatility
> > characteristics. The question is, is there a good "universal" Volatility
> > Filter, or is it better to deal with the problem on an individual,
> > market by market basis?
> >
> > Thanks,
> > Monte
> >
> >
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