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<DIV><FONT size=2>test</FONT></DIV></BODY></HTML>
</x-html>From ???@??? Thu Nov 25 16:49:07 1999
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From: "ROBERT ROESKE" <bobrabcd@xxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Subject: [realtraders] Gen - DROEX system {01}
Date: Fri, 19 Nov 1999 13:35:07 -0800
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<DIV><FONT size=2>To review the basic DRoex system:<BR>Take the daily H - L and
average it for 5 days. Then multiply it by 16 and<BR>name it
Historical. Compare the Historical to the implied volatility.
If<BR>the Historical is less than implied then expect a short term rally in
the<BR>undelrying until Historical = implied. DR can correct me if I
have<BR>misinterpreted it.<BR><BR>The attached two .gifs show why the DRoex
system failed in the 1992 to 1997<BR>period and worked in the 1998 to 1999
period. It has to do with rising<BR>levels in both the VIX and the
annualized 5 day historical volatility as he<BR>defines it. In the early
period the historical was below the implied most<BR>of the time and generated no
trades. Then the historical and implied began<BR>rising but the historical
rose faster. In the last few years, the Dr's<BR>perceptions are valid and
make a decent system.<BR><BR>Suggestions might be to use another type of
historical volatility. Another<BR>might be to compare Hist and IV
differently. Perhaps normalizing both in<BR>some way would help. A
third would be to use a different endpoint detection<BR>to the rally than H =
IV. The third one alone would make a big difference<BR>in profitability
for the recent period. A fourth would be the radical idea<BR>that dispells
the notion that a system has to work over long periods of<BR>time. Markets
change and systems have to adapt or become extinct or be used<BR>when they are
at their best. Infact there is a trading methodology based on<BR>"what is
working now".<BR><BR>BobR<BR><BR>----- Original Message -----<BR>From: ROBERT
ROESKE <<A
href="mailto:bobrabcd@xxxxxxxxxxxxx";>bobrabcd@xxxxxxxxxxxxx</A>><BR>To:
<<A
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx</A>><BR>Cc:
<<A
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx</A>><BR>Sent:
Thursday, November 18, 1999 11:54 AM<BR>Subject: [realtraders] Gen - DROEX
system {01}<BR><BR><BR>> One thing I noticed on the last droex4.gif with data
back to 1992 is that<BR>> the first trade with the current code did not tick
off until 1997. The<BR>H -<BR>> L range of the OEX and the VIX behavior
in 1997 to 1992 must have been<BR>> different. So back to the drawing
board to see what is going on.<BR>><BR>> BR<BR></FONT></DIV></BODY></HTML>
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