Record low followthrough in S&P

General discussions about futures.
Post Reply
blueberrycake
Roundtable Knight
Roundtable Knight
Posts: 125
Joined: Mon Apr 21, 2003 11:04 pm
Location: California

Record low followthrough in S&P

Post by blueberrycake » Thu Feb 26, 2004 1:07 am

Here's something else to think about in terms of S&P futures and falling volatility. This chart shows the % of the time that the daily close is above the previous high or below previous low by at least half of the previous day's range over a 150 day period. I think the chart speaks for itself.

-bbc
Attachments
range extension_html_m23934100.jpg
range extension_html_m23934100.jpg (57.04 KiB) Viewed 5650 times

Sam
Senior Member
Senior Member
Posts: 41
Joined: Wed May 14, 2003 5:40 pm
Location: London, United Kingdom

Post by Sam » Tue Mar 16, 2004 12:30 pm

I experienced quite a drawdown on my S&P system because of the decline in movement. In January I was becoming quite scared since all the trades I made were losers. From back testing the system since the S&P (big) futures started, I have never had a month where all the trades were losers. Fortunately, I had a winner in the last week of Jan, but unfortunately I am still down for the year.

Ranges have increased (temporarily?) of late, very likely due to the impact of the news of the events in Madrid last week.

Sam
Senior Member
Senior Member
Posts: 41
Joined: Wed May 14, 2003 5:40 pm
Location: London, United Kingdom

Post by Sam » Tue Mar 16, 2004 12:38 pm

Blueberrycake,

Would you be able to post a link for the above chart - no problem if it's proprietary...

cheers

Sam

blueberrycake
Roundtable Knight
Roundtable Knight
Posts: 125
Joined: Mon Apr 21, 2003 11:04 pm
Location: California

Post by blueberrycake » Tue Mar 16, 2004 12:45 pm

Sam wrote: Would you be able to post a link for the above chart - no problem if it's proprietary...
There is no link. It's just something I whipped up in Excel and uploaded here. I often look at these sorts of things to see how the various markets compare (to each other and over time). I didnt get a sense that there was a whole lot of interest in these charts, so I stopped posting them.

-bbc

cache
Contributor
Contributor
Posts: 2
Joined: Sun Jan 25, 2004 10:07 pm

Post by cache » Mon Mar 22, 2004 10:10 pm

Blueberrycake:

I for one enjoy the charts you and everyone else post on this site. The one above is excellent. As they say, "A picture says a thousand words."

I have found this forum a real educational experience and have learned a lot from all those who have contributed.

John

RedRock
Roundtable Knight
Roundtable Knight
Posts: 941
Joined: Fri Jan 30, 2004 3:54 pm
Location: Chicago

update?

Post by RedRock » Thu Apr 07, 2005 2:22 pm

bbc,

I would like to see a current view of the range extension chart. Seems it could be a good way to filter index systems.

thanks, rr

Post Reply