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I'm not an accomplished analyst. I'm a system trader. And my
systems have been getting whacked for the past month, mostly due to
volatility.
It seems to me that the volatility has really increased lately. In
the S&P there have been 6 15-25 pt swings, in less than an hour, in
the last 6 days. None of them follow through with any kind of move.
10-20pt gap opens have become common. The ND is even worse.
This raises hell with a short-term system that holds overnight and
capitalizes on more sane moves. The market settles down for a day or
so, lulling my system into complacency so it takes a position, then
wham! There goes a 20-pt explosion, and I'm hit for another loss.
Can someone comment on this? Do you expect this level of volatility
to continue (or increase!?) for the near/forseeable future, or is
this a short-term aberration? My system has never seen anything like
this in its 3+yr history, encompassing several hundred trades.
I can adjust my system to behave better in the market as it's acted
for the last several months, but I'm nervous about changing something
that has worked well for a long time. But if this market is going to
keep acting like this, I need to change something or I'm going to be
in deep trouble.
For sure I'm going to have to start taking smaller positions, so at
least I can go broke more slowly.... :-(
Gary
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