ES Volatility Study

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Originally posted by aphexcoil
Good question. Obviously the dynamics of backtesting can easily get very complicated. If we assume that 13 trades are successful at +15 points out of 88 trades, I assume that, during the duration of that trade, we ignore any signals that would qualify for another trade.
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Cool, just wanted to double check. sometimes in backtesting you can get crazy results if you're not careful.

You may also want to try a filter that eliminates all bars that close greater than X, where X can be something arbitrary at first and then work in some volatility measure (like 2 * ATR). In other words, if in one bar you get a very large move, you may want to bypass the signal generated by that bar b/c you're caught in the middle of something crazy like an economic report.

If you decide to take those trades (i.e. you think the method still has an edge even during high volatility periods), you may want to adjust your stop loss based on current volatility.
 
Originally posted by dottom
If you decide to take those trades (i.e. you think the method still has an edge even during high volatility periods), you may want to adjust your stop loss based on current volatility.
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You da' man! :cool:
 
Originally posted by aphexcoil


http://www.subzonex.com/
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lmfao

The Aphex Rap

Yo, what you got, look around
I'm about to rip up this city and town,
Dancin' and cool romancin', kissin' the cuties in the gucci booties,
Your friends -- they told me you were something kinky,
so back that ass up girl and let me work it like a slinky.
I'm wacked, coming from behind the back,
open your mouth baby, let me get a taste of that
ohh damn, move those sexy hips,
make it hot while I hit the spot,
now scream my name baby,
"MC lick-a-lot"

Lets get these box springs squeekin',
while the wine on your chest be leakin',
I'll chase those drops and catch 'em with my tongue,
I'll lick 'em and get 'em like a fully loaded love gun,

yeah yeah baby,
I'm a bad bad boy
yeah yeah baby,
I'm your fire hot sex toy
 
Originally posted by yenzen
haha, i red yur journal. you sound like crazed cocaine monkey jumping up and down,
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Aphie,

There are system traders, and there are discretionary traders,
and you sir, are a system trader..

:D
 
Originally posted by Gordon Gekko

lmfao

The Aphex Rap

Yo, what you got, look around
I'm about to rip up this city and town,
Dancin' and cool romancin', kissin' the cuties in the gucci booties,
Your friends -- they told me you were something kinky,
so back that ass up girl and let me work it like a slinky.
I'm wacked, coming from behind the back,
open your mouth baby, let me get a taste of that
ohh damn, move those sexy hips,
make it hot while I hit the spot,
now scream my name baby,
"MC lick-a-lot"

Lets get these box springs squeekin',
while the wine on your chest be leakin',
I'll chase those drops and catch 'em with my tongue,
I'll lick 'em and get 'em like a fully loaded love gun,

yeah yeah baby,
I'm a bad bad boy
yeah yeah baby,
I'm your fire hot sex toy
More...

hahahahahah again I must thank you!!! you are good shit! :D :D :p :p
 
a sad truth.
when the market becomes challenging, we get a lot of crappy threads on ET. A strong correlation there. I bet there is a tradable pattern there.
see ? I am doing it too.

PM me if you want this thread reopened because you would like to CONTRIBUTE to the topic.
there is a chit chat area for the rest. I don't mind it. It's there for that. here is not the place.

futures trading is difficult enough. I am tired of reading members complaining that they need to skip through pages and pages of useless posts. They are right, and that's why we try to moderate threads.
 
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