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I believe the relationship between liquidity and volatility is too dependent on other factors to be easily defined. It also depends on whether you're looking at short-term or longer-term volatility.

It's natural. Volatility goes up and down in cycles. Since November, you're right, it has come down some, especially in certain pairs. But it will rise again as we move to new congestion levels as economies and interest rates change...

Time decay clearly isn't linear, ATM or not. If an option (this is theoretical) were to deteriorate at $.05 per day for 40 days, starting at $2.00, would you consider this linear? If so, you would be wrong. An option buyer would be much more severly hurt (percentage-wise) each day as...

She's a badass, and if you're gonna start a thread about her, please spell her name right. Idiot.

The original post could not be further from the truth.

risktaker's advice solves that problem... if time >= 931 and time < some time late in the day then buy next bar at 0.3*DATR stop; Each day, the variable MyOpen will be reassigned to the open of the first bar of the day.

Also, YM and ES are choppier and typically more difficult to design systems for than markets like the ER2. Your results are no different than most other people's...

Chris, Referring to your other thread, I would look at MFE and MAE to look at what often happens to your trade during those 10 bars. You will learn a lot about appropriate exits this way.

John Sweeney originated two concepts: MFE = Maximum Favorable Excursion, meaning the maximum profit that was seen at any point during a given trade. MAE = Maximum Adverse Excursion, meaning the maximum loss that was seen at any point during a given trade. The ability to look at your...

I think your analysis is basically correct. Often I find that scaling out actually worsens overall performance, which as you say, isn't totally surprising considering the goals of a trend-following system. It ultimately depends on the statistics of your system. Are you familiar with MAE and MFE...

Jock, I see what you mean. Try this: You can set the 9:30 EST Open as your chosen value by assigning a variable: Vars: MyOpen(0); If Time = 931 then MyOpen = Open; (this is for 1min bars) If Time = 935 then MyOpen = Open; (this is for 5min bars) This will keep the opening...

I would issue the stop order on the first 5min bar of the day rather than issuing it the previous afternoon. This way, "date of next bar" is not needed. So you can use the US Stock session, 9:30 to 4:00 EST, and say: If time = 935 then buy next bar at Open + 0.3*DATR stop; This will be...

WOW, I hate to have to say it, but you truly are stupid, aren't you? All this because I posted "And...", wow...

From the post "And..."?????????????? Let me spell it out for you guys. I WAS LOOKING FOR THE OP TO ADD SOME COMMENTARY. That's all. Now let it go.

You're a moron. Can you spell that out, too?

Yeah thanks, I got that. But thanks for your enlightening post. Was just looking for the OP to say something himself rather than just cut and paste.

And...

Bluegar3, I recognize you form the TS forums. Good to see you on ET... I would caution you on the following: When looking at a chart, the mind's eye will most often see what it is looking for rather than the complete picture. For this reason, when walking through a chart manually, you will...

austinp, FWIW, my partner and I have found exactly the same things to be true. GBPUSD often tests best for whatever reason, which is the reason we focus so heavily on it. Yen pairs are exactly as you described them at times. Interestingly, most people tend to focus on finding "one system that...

I can think of no faster a way to transfer money from your account to your broker. Even if you were to obtain a 1/2 pip spread in the interbank market (highly unlikely), slippage would destroy this strategy immediately. Try shooting for an average trade of at least 10-15 pips to account for...