How to manage hi-volatility mkt
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Javier
Aug 23, 2011, 2:22:31 PM8/23/11
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Recently I noticed that optimizing the base strategies using a past
quiet period doesn't work quite well in hi-volatility markets like
this month.
I'm thinking in using a dynamic way to set the entries and exits in
concordance with the volatility. In the past I used the ATR (avg. true
range) but this isn't implemented on JBT.
How do you cope with hi-volatility markets?
quiet period doesn't work quite well in hi-volatility markets like
this month.
I'm thinking in using a dynamic way to set the entries and exits in
concordance with the volatility. In the past I used the ATR (avg. true
range) but this isn't implemented on JBT.
How do you cope with hi-volatility markets?
nonlinear
Aug 23, 2011, 7:52:46 PM8/23/11
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The closest available measure of volatility in JBT is the PriceVolatility indicator.
Judson Wilson
Aug 23, 2011, 7:58:30 PM8/23/11
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I would like to make a multiple instrument version of JBT, that can also do simple price streams, and then we could do books on the S&P index, and VIX, and create indicators based on multiple-day data.
You cannot do this as well with the ES contracts because there comes a point where you switch contracts, and the data becomes discontinuous.
But I have no time *sigh*
You cannot do this as well with the ES contracts because there comes a point where you switch contracts, and the data becomes discontinuous.
But I have no time *sigh*
On Tue, Aug 23, 2011 at 4:52 PM, nonlinear <eugene....@gmail.com> wrote:
The closest available measure of volatility in JBT is the PriceVolatility indicator.
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Javier
Aug 27, 2011, 11:41:36 AM8/27/11
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> The closest available measure of volatility in JBT is the PriceVolatility
> indicator.
Are you still using the strategies based on Tension indicator with
> indicator.
some PriceVolatility correction factor, E.g. FinalTension = Tension +
PriceVolat?
nonlinear
Aug 29, 2011, 6:54:04 PM8/29/11
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Are you still using the strategies based on Tension indicator with
some PriceVolatility correction factor, E.g. FinalTension = Tension +
PriceVolat?
No, I moved on to the new set of strategies. I'll include them with the next release in a couple of days.
Javier
Sep 14, 2011, 7:30:56 AM9/14/11
to JBookTrader
> No, I moved on to the new set of strategies. I'll include them with the next
> release in a couple of days.
Which will be the next release 8.07?> release in a couple of days.
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