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ES intraday volatility recently

  #18 (permalink)

sydney + nsw australia
Posts: 16 since Jul 2013
Thanks: 8 given, 6 received

choke35 View Post
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.

VIX Comment

Since 13th July forward all Vix closes have been 13 or less (rounded to whole numbers) except for 1 day.

With respect to my strategy there is no forward warning for me if I was being impartial. With the benefit of hindsight could I have magically foreseen results would fall off on 8th Aug fwd? For me the answer is NO.

It's like beauty - it is the eyes of the beholder.

Like all these things, any confirmation tool / filter is Catch 22. if one uses say VIX (as an example) I would have missed out on the trades that were part of the 68% breakeven/winrate.

Re: ADN I need to do more stats on.

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