LTTF and Volume, Volatility and RS.
Posted: Tue Dec 21, 2004 10:54 am
Dear Friends,
I have been trading stocks short term quite succesfully for some time. I use 5 variables in my short term analysis -
1. Closing Price
2. Volume
3. Volatility
5. Market Direction
6. Relative Strength
I am using Wealthlab and I see that it is fairly easy to design 35%+ annualized return systems ( with 35%-40% Drawdown) using just Closing Price Based Moving Averages. I am using using just simple 7-8% pct Position Sizing. My systems have Avg Bars Held ~ 100.
But when I try to improve the System Performances using other variables like Volume and volatility and RS I find that performance does not improve ( It mostly goes down). Market Direction seems to hold some Value.
I want to request other Traders to share if they think Volume, Volatility and RS are real Value ADDS in designing Long Term Trend Following System. Is it worth researching further or not on volume and Volatility and RS.
Thanks a lot,
Rajiv
I have been trading stocks short term quite succesfully for some time. I use 5 variables in my short term analysis -
1. Closing Price
2. Volume
3. Volatility
5. Market Direction
6. Relative Strength
I am using Wealthlab and I see that it is fairly easy to design 35%+ annualized return systems ( with 35%-40% Drawdown) using just Closing Price Based Moving Averages. I am using using just simple 7-8% pct Position Sizing. My systems have Avg Bars Held ~ 100.
But when I try to improve the System Performances using other variables like Volume and volatility and RS I find that performance does not improve ( It mostly goes down). Market Direction seems to hold some Value.
I want to request other Traders to share if they think Volume, Volatility and RS are real Value ADDS in designing Long Term Trend Following System. Is it worth researching further or not on volume and Volatility and RS.
Thanks a lot,
Rajiv