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a large share of these whippy moves are excerbated by the approach of yr
2000 so money flows are very fickle,oda driven and s/losses i would suggest
that you trade much smaller as moves will be even more scrappy till jan/feb
2000 and then you can reasses the merits of your system
regards
mark
-----Original Message-----
From: Alexander Levitin <alevitin@xxxxxxxx>
To: fritz@xxxxxxxx <fritz@xxxxxxxx>; RealTraders Discussion Group
<realtraders@xxxxxxxxxxxx>
Date: Saturday, November 13, 1999 7:15 PM
Subject: Re: GEN: Volatility
>Dear Gary,
>
>I will not comment of the volatility issue. (I do not have "deep"
>understanding of it). But may I suggest you to go back to the period of
>times when a major bottoms were made (by major I mean that the price went
>bellow 200 day moving average and then come back above it). Run your system
>over that data. Would you have the same results (form the point of
>"volatility" or gains/losses).
>
>To decrease the trading size is a wonderful idea. Another one is to stop
>trade (keep running your system, but without actual execution) until you
>will feel that everything is back to "normal". How many times I had wished
>I would take an around the world cruse during the loosing months...
>
>Just a suggestion.
>
>Uneducated Alex.
>
>At 11:21 AM 11/12/99 -0700, Gary Fritz wrote:
>>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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