If you are trading ES futures, have you tried to normalize volume by open interest?
________________________________ From: nonlinear5 <[email protected]> To: JBookTrader <[email protected]> Sent: Fri, November 19, 2010 5:23:26 PM Subject: [JBookTrader] Re: Volume Over the last week, I experimented with various ways to improve the performance of my best strategies with the volume-based indicators. Specifically, I added criteria such as "rising volume", "declining volume", "peak volume", and "lowest volume". The results are disappointing. On the risk-adjusted basis (as measured by PF, Kelly, and PI), I have not been able to improve the performance of my best strategies. If anyone sees any evidence of "extra edge" by including volume information, feel free to post here. -- 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. -- 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.
