CL Redux

[Visaria]

Quote from Visaria:

long 8640

out at 8730, +90t, not great

 

[ammo]

not terrible,have a saying over here, better than a sharp stick in the eye

 

[Visaria]

in retrospect, ok, but need big winners to pay for them losers.

the volatility has died a bit in CL, what's the ADR these day, 130 pips or so? Used to be in excess of 200....

 

[ammo]

storm, election,increased fear or lack of certainty

 

[ogarbitrage]

Quote from Visaria:

in retrospect, ok, but need big winners to pay for them losers.

Speaking from experience, refine your system: be more selective in the positions you take and maintain your stops.

Sometimes not trading is trading.

 

[roreilly]

CL Average True Range during Regular Trading hours (9:00 a.m. to 2:30 p.m. ET).

I calculate this by hand.

Average True Range over past six months

1.70


Average True Range over past twenty days 1.88
(including Columbus Day, 10/29 and 10/30)


Standard Deviation 0.69
St Dev of past 20 0.74

Last 20 days ATR:

2.59 10/3/2012
3.12
2.78
1.38 10/8/2012
2.83
2.64
1.38
1.48 10/12/2012
2.22
1.00 10/16/2012
1.30
1.87
3.17 10/19/2012
2.16
1.45
1.99 10/24/2012
1.57
0.83
1.68 10/29/2012
0.79
1.28 10/31/2012

 

[Tonkadad]

Please stow all personal items and return your seat back to the upright position.

 

[riskaddict]

Quote from ogarbitrage:

[B

Sometimes not trading is trading. [/B]

AMEN!!

 

[tomahawk]

I used to keep track of ATR in ES and I really have never found a practical way to use it consistently.

As far as CL, which is much less mean-reverting than ES, how do you guys actually make use of ATR? Surely we're not fading and averaging at multiples of ATR ...

 

[roreilly]

For me, it is pure hindsight -- I don't use ATR in trading per se, but in system design, and also in evaluating whether CL is a good candidate to trade, ATR is significant.