> > Also, perhaps a simpler way to do this would be to use publicly > available data, such as VIX (Chicago Board Options Exchange Volatility > Index), to modify behavior. This would require less effort to keep up > to date, but might require a lot more initial effort. >
We've used the VIX as a threshold to stop trading in September. In retrospective, it was a good decision since our strategy lost money over the entire stock market crash as we were sitting on the side line. We've used it too to start trading again when it got below a certain point but we haven't optimized that threshold. I tought too it would be a good idea to optimize data over a certain recent period of time but never actually took the time the cut the data in multiple part to test it. --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
