ES intraday volatility recently
|August 21st, 2016, 09:22 PM||#21 (permalink)|
sydney + nsw australia
Futures Experience: Intermediate
Platform: NT, CQG, IB
Broker/Data: IB, CQG
Favorite Futures: Emini ES
Posts: 16 since Jul 2013
Thanks: 8 given, 6 received
Curious you should say that as your own approach is anything but automated.
My strategy is not fully automated. Having said that I have access to some very good quant ppl that I can runs things by and get quantified. One of them was personally trained by Howard Bandy. So whilst I would not claim to be an expert I am not a rookie in that area by any means.
I have not had any feedback that the strategy is obviously not robust. No single approach works all the time even under the same general market conditions. Sequence of winning / losing trades etc.
In the period 8th Aug to 19th Aug the win rate dropped to 57%, hardly what one would call a disaster or suggest any lack of robustness. Of course that could be just around the corner
Sticking to the point of the original post I note that you have been trading thru the period in question so clearly you do not use any rule that would have precluded you from trading on the days I did.
Last edited by skiguy; August 22nd, 2016 at 02:48 AM.