I suspect that you simply won't make a lot of trades with these systems in low volitility, because they are count-trend, if I remember correctly.
I would suspect that trades can start going against you in a big way in low volatility if the volatility picks up big - something that the volatility compensation would need to adopt for. On Sun, Jan 22, 2012 at 9:44 AM, Javier <[email protected]> wrote: > >> Nonlinear, for how long did you traded the 11 strategies live? > > Every day for the last 6 months. > > What's the delta between the optimization results and the satisfactory > real performance that you got during the last 6mo? > > > > One thing that I am working now is to address the very uneven > distribution > > of trades > > I've concluded the same, the strategies work well in range/downtrend > markets with medium/high volatility but don't take trades in uptrend > markets with low volatility (e.g. Sep'10 to Mar'11). I'm thinking in > adding some volatility/volume filter to achieve an even distribution, > any other ideas on this? > > -- > 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.
