Systems/Yearly Returns

General discussions about futures.
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Spectre
Roundtable Knight
Roundtable Knight
Posts: 136
Joined: Sat Mar 03, 2007 9:04 pm

Systems/Yearly Returns

Post by Spectre » Sat Apr 14, 2007 12:29 pm

It seems most systems thrive on price progression, and most backtested systems registered large gains after 911, when volatility was extreme and macro shifts took place.

Systems that thrive on low volatility periods where price progression is relatively minimal are few.

You would need a bifuricated system, where two systems hedge each other, or straddle where as soon as price progression and volatility measures meet certain thresholds, the system shifts to trend based.

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