On Sun, Jan 22, 2012 at 3:37 PM, Judson Wilson <[email protected]>wrote:
> 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. > > My previous set of strategies performed well in the low volatility environment. In the high volatility environment, that set of strategies was starting to lose money. My new set of strategies was optimized on the longer period which includes both low- and high-volatility market, and it performs well. The drawback is that in the low volatility, these new strategies don't take trades at all, even though the market makes significant price moves. I only had a few trades during the last two months. So, the challenge is to make a strategy "volatility-aware", so that it can be traded in diverse market conditions. -- 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.
