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At least, when the range was 4 handles, the increments between points
were
smaller than the .25 pt increments on the ES. We need that on the ES.
Intraday systems based on channel breakouts are taking it on the chin.
Gary Fritz wrote:
> > > Who knows. I wouldn't expect them to go back to the pre-1997
> > > levels of 0.75% ranges. It's a different world now.
> >
> > Well, apparently we're in the pre-1997 levels for some time now
> > (since mid-summer), if you do a half-yearly study.
>
> Yup. Not to the 0.75% range yet, but...
>
> Other than two spikes around the double bottom in Aug & Oct 2002,
> average daily range has been under 20 handles since 2001. It's
> been declining steadily all year, and it's currently under **10**
> handles, or < 1% of price.
>
> On the other hand, that's not all that unusual. The Range/Price
> value dips down to 1% quite often, even back in the heydays of
> 2000. E.g. at the start of 2000 and in 9/2000 it touched 1%.
>
> You have to go back to 1996 to get significantly below 1% and
> even to 0.75%. I'd like to hope we won't get there, but the
> trend is sure heading that way. In early 1996 the average daily
> ranges were around ***4*** handles........
>
> Gary
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