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Record low followthrough in S&P
Posted: Thu Feb 26, 2004 1:07 am
by blueberrycake
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
Posted: Tue Mar 16, 2004 12:30 pm
by Sam
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.
Posted: Tue Mar 16, 2004 12:38 pm
by Sam
Blueberrycake,
Would you be able to post a link for the above chart - no problem if it's proprietary...
cheers
Sam
Posted: Tue Mar 16, 2004 12:45 pm
by blueberrycake
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
Posted: Mon Mar 22, 2004 10:10 pm
by cache
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
update?
Posted: Thu Apr 07, 2005 2:22 pm
by RedRock
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