How to deal with low volatility

T

tenthousandmen

So I presumed that trading in lower volatility would be easy, but I was wrong. It's difficult intraday, even with great systems. I'm stuck trading only SI, TF, CL, DAX, and a couple other notoriously volatile instruments. Even at that, I'm now losing money about every other day, and this week has been the worst.

The sharpe on the S&P is almost 10 since the new year, which implies very low volatility and high consistency. Volume is also very low, implying that the market finds prices more easily and-or people are not trading. I've made allot of money on the simulator trading basic swing trades overnight on futures and stocks, something I've never done live. I could do this, but it seems like a Sharpe of 10 is not sustainable under any circumstance, so I'll lower my position sizes and wait for volatility to come, either down or (less) up.

What do you do with intraday trades in low volatility?
 
Quote from tenthousandmen:

So I presumed that trading in lower volatility would be easy, but I was wrong. It's difficult intraday, even with great systems. I'm stuck trading only SI, TF, CL, DAX, and a couple other notoriously volatile instruments. Even at that, I'm now losing money about every other day, and this week has been the worst.

The sharpe on the S&P is almost 10 since the new year, which implies very low volatility and high consistency. Volume is also very low, implying that the market finds prices more easily and-or people are not trading. I've made allot of money on the simulator trading basic swing trades overnight on futures and stocks, something I've never done live. I could do this, but it seems like a Sharpe of 10 is not sustainable under any circumstance, so I'll lower my position sizes and wait for volatility to come, either down or (less) up.

What do you do with intraday trades in low volatility?
More...

If volatility is low you need be mean reverting, and not trend trading.

ADX/DMI is a good indicator for this if you cannot yet see the price action.
 
I haven't done any discretionary trading since the fall, but instead have focused all my time on algos. It's worked out well, however the low volatility makes things tough when combined with slippage. Non index contracts almost never mean trade, but trend. I've focuse on systems that are as big as possible while being intraday - so 1 or 3 trades a day per contract, sort of swing trading from the open to the close.
 
just opened Finviz chart and there was gap and the price was 1346,but my platform shows 1352.wtf??
:confused:

sell!sell!sell!

:D
 
Quote from tenthousandmen:

like I way saying.....
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Around 30 winning days and 11 losing days since start of the year, low max loss relative to the winners.

I guess I don't see what you're complaining about :confused: Opportunity is not always going to be there to rake in cash hand over fist, if your systems make money in both crazy markets like last fall and the slow grind up, pat yourself on the back and carry on.
 
Quote from tenthousandmen:

So I presumed that trading in lower volatility would be easy, but I was wrong. It's difficult intraday, even with great systems. I'm stuck trading only SI, TF, CL, DAX, and a couple other notoriously volatile instruments. Even at that, I'm now losing money about every other day, and this week has been the worst.

The sharpe on the S&P is almost 10 since the new year, which implies very low volatility and high consistency. Volume is also very low, implying that the market finds prices more easily and-or people are not trading. I've made allot of money on the simulator trading basic swing trades overnight on futures and stocks, something I've never done live. I could do this, but it seems like a Sharpe of 10 is not sustainable under any circumstance, so I'll lower my position sizes and wait for volatility to come, either down or (less) up.

What do you do with intraday trades in low volatility?
More...

I been trading S&P500 or ES since mid 80's, it is just doing what is normal. The big swings you experienced in past in rather abnormal, all the methods I have designed through the years trade on normal price action of what it is, low volatility. I enter when price is stable and as soon as big bars start, my ability to take trades closes down. It just comes down to lowering your expectations, but increasing contract size. If you trend trader, look for very deep retracements, if a chop trader must buy/sell congestive areas which were many today for 4-8 tics. I do very well in days of chop and work hard on days of strong trends as my targets do not allow letting winners run approach.

I would suggest the Dax, or the Bund as both do make for some nice moves for trend trading and not only during overnite.
 
Quote from Handle123:

I been trading S&P500 or ES since mid 80's, it is just doing what is normal. The big swings you experienced in past in rather abnormal, all the methods I have designed through the years trade on normal price action of what it is, low volatility. I enter when price is stable and as soon as big bars start, my ability to take trades closes down. It just comes down to lowering your expectations, but increasing contract size. If you trend trader, look for very deep retracements, if a chop trader must buy/sell congestive areas which were many today for 4-8 tics. I do very well in days of chop and work hard on days of strong trends as my targets do not allow letting winners run approach.

I would suggest the Dax, or the Bund as both do make for some nice moves for trend trading and not only during overnite.
More...

Thanks allot for the great input spetrex, handle -

Yes the dax is definitely amazing, it's actually the contract that performs the best with my few systems. unfortunately ninja trader has more bugs than the ****ing iranian navy, making fdax (for whatever reason) very difficult to trade. It would do that company good to fire 90% of the workforce, move to silicon valley like most software companies and get some real code in, not spaghetti code....



With the SPY sharpe at 9, it seems like it won't last much longer... I don't see any past periods beyond a quarter where it held that much consistency. I guess that means things will take a turn sooner or later?:confused:
 
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