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
Record low followthrough in S&P
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blueberrycake
- Roundtable Knight
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- Joined: Mon Apr 21, 2003 11:04 pm
- Location: California
Record low followthrough in S&P
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- range extension_html_m23934100.jpg (57.04 KiB) Viewed 7043 times
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.
Ranges have increased (temporarily?) of late, very likely due to the impact of the news of the events in Madrid last week.
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blueberrycake
- Roundtable Knight
- Posts: 125
- Joined: Mon Apr 21, 2003 11:04 pm
- Location: California
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.Sam wrote: Would you be able to post a link for the above chart - no problem if it's proprietary...
-bbc
