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ES intraday volatility recently

  #17 (permalink)

Trading Experience: Intermediate
Platform: Other
Favorite Futures: ES, YM, 6E
Posts: 2,666 since Feb 2013
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skiguy View Post
You have stated:

"As you can see, the VIX index (composite of the VIX futures) has
just dropped to long-term lows. OTF traders stay away at these levels since there is absolutely no
reason for trades

skiguy View Post
It may well be that the results I am getting are random and cannot be explained by Vix or ADN.

During the whole period I have detailed stats for, the Vix has been low (for all but 1 day it has been max of 14 and for all the remaining days bar one it was 13 or 12, leaving 1 day at 11).

Prior to Aug 8 the win-break even rate was 68%. In the period since then it has been 54%. Also getting less trades per day.

Here we are: Your personal stats exactly that meet the expectation behind the initial answer.
With a twist: It's not simply "being low" - who knows if it can't go lower? It's also tendency /
trend (i.e. positive or negative returns) that counts.
  • OTF traders normally will not trade under such VIX conditions without any important and/or surprising news
    which trigger a revaluation of portfolios.
  • And as you proved for your own strategy, the chances stemming from noise are also substantially reduced -
    surely in their magnitude and often also in their frequency.

So, coming back to your first post: Yes, there were indications. Falling VIX / shrinking ADNs both flashed warnings.

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