Anyone here took Davey's course?

[kevinkdog]

Hello Kevin,


What percentage of your systems are dependent on volatility being above baseline levels? Have you developed your own in house vol filter, that triggers systems to turn on and off?

Regards,
Chris

Thanks for the question Chris. I personally don't have any kind of in house vol filter, although I can see that it might be useful. I could have used such a thing a few weeks ago to turn off some ES strategies.

I'm not sure off hand how many of my personal strategies use volatility measures, but a fair percentage, with different types of calculations for it.

The strategy development process I use could definitely incorporate such a measure, if one wanted it.

Is that something you do? It sounds intriguing...

 

[Spectre2007]

Thanks for the question Chris. I personally don't have any kind of in house vol filter, although I can see that it might be useful. I could have used such a thing a few weeks ago to turn off some ES strategies.

I'm not sure off hand how many of my personal strategies use volatility measures, but a fair percentage, with different types of calculations for it.

The strategy development process I use could definitely incorporate such a measure, if one wanted it.

Is that something you do? It sounds intriguing...

I’ve found that pnl spikes over multi year tick data testing, that any signal generated has a tendency for a much higher reward when volatility is the highest. I’ve looked through various systems developed, and overlayed the Vix chart. I was amazed at how much they correlated.

I didn’t have a break through in system development till I developed a tick data volatility filter. The rewards seem to correlate with filtering only the signals generated during certain time intervals. All the above is just for the /ES.

Chris

 

[kevinkdog]

I’ve found that pnl spikes over multi year tick data testing, that any signal generated has a tendency for a much higher reward when volatility is the highest. I’ve looked through various systems developed, and overlayed the Vix chart. I was amazed at how much they correlated.

I didn’t have a break through in system development till I developed a tick data volatility filter. The rewards seem to correlate with filtering only the signals generated during certain time intervals. All the above is just for the /ES.

Chris

Thanks for sharing. I have noticed that holds in many futures markets (higher vol >> more profit). I have played around with creating vol type "indexes" for other markets, although I never really found something I liked enough to use. Perhaps it is time for me to re-examine that...

Thanks for bringing this up - it is a good topic!

 

[Spectre2007]

Thanks for sharing. I have noticed that holds in many futures markets (higher vol >> more profit). I have played around with creating vol type "indexes" for other markets, although I never really found something I liked enough to use. Perhaps it is time for me to re-examine that...

Thanks for bringing this up - it is a good topic!

This may help, you only need to develop it for the /ES. Extreme volatility in equities spills over to most other macro markets.