|August 4th, 2009, 11:08 PM||#1 (permalink)|
Futures Experience: Intermediate
Broker/Data: IB/TDA needing new broker
Favorite Futures: Futures, Forex, Stocks
Posts: 97 since Jun 2009
Thanks: 91 given, 96 received
Trying to find why my mechanical MA cross-over system did work last months. Suspecting a lack of volatility, I have been looking at the ATR.
But the ATR was over the last year was very distorted as the price dropped 90%.
So I made an ATRpercentage indicator that will yield the ATR as percentage of the median price.
Taking the ATR as percentage of the price worked. It showed that my strategy was getting worse with a lower ATRpercentage. Or to put it another way ... I need a minimum volatility to have the MA cross-over strategy to work. Which makes sense ... in hindsight. Now I need to find settings that will stop the strategy when the ATRpercentage is too low.
I will put the indicator here first before putting in the downloading section as the 'real coders' might want to improve it.