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I think it would be useful at this time to ask if anyone has any idea how to quantify volatility *clustering* during intraday timeframes? If you need reference materials, I posted a link to Engle's paper on GARCH a few pages back. We know volatility dries up midday, but, this isn't exactly...

In reading this post and some of the others here I think its best to remind anyone following along that I don't intend to provide any hard (set in stone) answers to such questions as hard answers do not, in my opinion, exist. Your job is to do the research yourself. You have to identify...

There's only a handful of people here actually contributing value. If you feel the need to post personal/emotional/useless crap, go elsewhere. What happened to staying on topic? So far the topics are: 1. Volatility filters. 2. Position sizing aka risk management. 3. Interelationship...

Just use the ignore feature. Its distracting more than anything else. FWIW, several years ago I tried to understand some of jack's posts by reading carefully and for content. I'd like to think of myself as a somewhat bright guy, but, I couldn't make sense of any of it, nor could I find any...

So far I'm a little suprised that no one has picked up on this analysis and ran with it. Understanding volatility and how it can make or break a trading idea is a conceptual must have in one's bag of tricks. Its possibly that the analysis talon provided didn't have the intended impact. This...

Bowo, How about taking talon off ignore (again) and answering his last question? Also, you might want to take a look at his thread to find out what a real trading system template looks like. This ought to be one step towards knowing how to even recognize something tangible. Mike

This also assumes Bwol has a quality data source. Yahoo OHLC on the Q's is one thing, but, even then - assuming you're sampling the actual close @ 1600 (not the settlement), are you really going to get that price? Aside from liquidity at close, the conservative thing to do (i.e. for modeling...

Good stuff TSG - thanks for not getting worked-up over what I said; my wife, as well as others, have mentioned that my style of communication can be a bit rough. Its mainly because I don't really care about someone's feelings when critiquing/assessing their ideas. Good ideas are good ideas -...

TSG, You may have addressed this in a round-about way, but, I think that your comments regarding inductive/probabilistic reasoning are slightly mis-leading and possibly flawed. You're asking people, many of whom may be new or relatively inexperienced, to hypothesize and test the validity...

I think I understand your question and I see where you are going with this. It seems you want to normalize trade size to recent volatility, correct? I've done some research on this and I don't remember what I concluded, but, suffice to say I don't use this approach in live trading so I may have...

...taking on more risk in high volatility periods/stocks That's exactly where I'd want to take on the most risk! It presents the most ineffiecent pricing! :) Personally (and this is merely a personal approach), I always develop trading systems with no stops first. I'll then apply stops if...

Hi Talon, This is a good start for a system. With some tweaking and additional filters, one can make this into a tradeable, portfolio level system. I added a few of my propriatary filters to this basic idea and tested it on a portfolio of about 600 stocks from 1997 to present. The results...

You're forgetting that Bowo's M.O. is: "any attention is good attention". If there is one thing that Bowo is the best at, its getting negative attention. Quite impressive actually...

LOL.. Beau, when you figure out how to model a bid/ask spread or non time-based data in wealth-lab, or with any other software for that matter then let us know... maybe by then you'll have some humilty. You are likely not aware of the fact that intraday pairs systems have to account for...

Hi Talon, I've been following this thread and as I mentioned before, I appreciate your efforts. Thanks for your time here, its great to see some real analysis on this site - real content has been lacking on this site for a few years now as I'm sure you are aware. At this point, should you...

Liquidity is measured in cash movement, not just volume. Say I want to move $500k of *cash* into an equity: ABC @ $2/share 500k ADV = $1mil of transactional volume. OR XYZ @ $20/share 500k ADV = $10mil of transactional volume. In ABC, I'm taking 50% of the available liquidity...

Hi Chuck, What is your affiliation? Thanks, Mike

Beau, One can transform anything into a linear model. This is what turns me off to most (if not all of) published econometric models and why I consider it pseudo-science. Non-linearity is a trait inherent in 95% of all natural phenomina - especially in markets. IMO, simply because professors...

(3 day avg price x 3 day avg volume) x 0.03 = Max. Cash Size Example: $10 x 500k x 0.03 = $150k = 15k shares

I'd also ask how one can extrapolate into the future, from a *limited* sample size, that one is or is not actually dealing with a Cauchy distribution? Tests for normalcy are qualitative... and, assuming one can convince oneself that the variance is in fact finite, well, even in such a case...